@Kal-El814Because if you choose to restart the level, it ups the difficulty of the game and makes you a better player. It makes you strategize better. Or you can choose to continue with that character gone which affects the game in other ways since you don't have that character and their abilities to rely on anymore, which I guess you could say makes the game harder as well in a different way.
Dying in Mario does not affect the game one iota sooo.....I don't think they're the same.
I'm playing through Path Of Radiance on GameCube right now so I guess that's probably why I brought up Fire Emblem. It's probably one of the most underrated games on the GCN.