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It's indeed true. If there's no real chance of failure, then the game ceases to be tense and interesting. Although you don't want to kill characters willy-nilly, the players need to feel that there's a real threat that they could die if the situation warrants it, to motivate them to try to save their own skins when the going gets tough.
[Reminder: Our guest commentators have not seen Rogue One. Part of the fun is seeing how their untainted impressions re-interpret the movie through the lens of our comic.]
[aurilee has been too busy to write her past few commentaries. They will be added retroactively when she gets time.]
— aurilee
Jim, please don't make me laugh so hard.
Corey, as a new player, is not used to player characters dying. And the other players point out exactly what it was that they did wrong. They split the party, and put the wrong person on guard duty.
And let's not mention who messed up.
Actually, taking a good look at that last panel, it looks like K managed to score a tie. It sure looks like a 100% kill rating, quite good for a combat robot.
— Keybounce
Transcript
GM: {present day} Krennic had been alerted and was now on his way...
{all dialogue in present day}
Corey: Wait, K died??
Sally: There has to be a chance of failure, otherwise it's no fun.
Corey: But... he died?
Annie: It was our own fault. We left him to guard the room, forgetting that clone troopers have trouble hitting living targets, but shoot droids just fine.
Sally: And then I locked Cassian and Bria in the vault to keep them safe.
Jim: And we couldn't get out to help because...
Pete: Yes?
Jim: Well, someone messed up. Not mentioning any names.
Pete: It was you!
Jim: That's why I'm not mentioning it.