The Guild Wars death penalty is wiped when you head back to town, so there are no permanent setbacks. At worst, you can fail to gain. You will usually come out at least marginally ahead: a little gold in your pocket and experience toward a skill point. After an evening of utter failure, you still gained a bit of rep, added 0.3% towards Cartographer, and banked some change.
Item wear is a minor death penalty and gold sink, but it can lead to your losing progress in a night of play. However many hundred times you are supposed to fail a raid, you are losing each time you do unless the raid comes with enough trash to pay for your repair bills (and that is just wrapping in the farming you could do outside the raid). You have heard of people hitting their heads against a wall so hard that all their armor broke and they could not afford to fix it. Then there are the expected consumables of potions, food, scrolls, etc. that get burned for each attempt. Those are dispiriting evenings, when you leave with less than you started with, and that experience cannot be wholly beneficial for player retention (which is funny when the game that avoids it does not have subscribers).
EVE Online is a game where you can lose everything you own but keep making progress because skill training is time-based. You are supposed to lose ships over time. Don’t get attached. Even if you are down some ISK, your skill points keep increasing.
There is something to be said for a lack of consequences. It’s a game.