They are acting like dying is actually dying.
It's not that they're afraid of dying, it's that dying will mean their NPC friend is dead, they lose all their ore that they mined, and they get sent back to a respawn point.
That last point is actually the most important - fast travel isn't really a thing unless a location has a teleport plaza, and travel distances are pretty realistic between locations, so you're looking at losing at least an entire day's worth of progress.
I know if I were playing an MMO or an RPG for an entire day and never was able to save my progress, if I got killed right at the end of a quest and lost all of my progress, I'd be pretty freaking pissed.