If there is no failure penalty, there is little sense of fulfillment on success. Knowing that you AVOIDED the penalty is a great reward. Using the example you cited, I thought the idea of injuries in Dragon Age was great. If all players just resurrected after fights with no consequences the player would have no motivation to keep them alive. With that system, you move low health players away from the fight or try to heal them. It makes surviving fights without any KOs much more rewarding.
Of course, like everything in life, the key is finding the sweet spot for player punishment. Sometimes just having to reload a game is punishment enough and sometimes you need to go full Dark Souls and make the player want to throw her console out the window.