The debuff which can already stop you from finishing leves, and the looooong way you have to walk again after getting killed on a journey are already enough for me to be kind of careful not to die.
At least it spares me the disappointment and anger from losing exp.
I'd never play a game like Resident Evil, but suspense is a good thing and not totally new to FF.
I remember running around in a dungeon in FF III, on the 10th of 11 floors, severly hurt, without any items which could heal you, with only enough MP left to once heal the party up and I thought something like "Please don't let some random mob pop up now, let me make it to the boss room without random fights, please don't let some random mob pop up now,.."
Because if you failed, you had to start all over again from where you saved for the last time (which you couldn't do inside the dungeon).
In FF XIV though, this kind of suspence is missing.
I'm fine with it the way it is, but I don't mind it being changed either.