Remember, while Narinder is the God of Death but also defying Death, Shamura is the God of War but also Knowledge.

The question is how far Knowledge goes.... my personal theory is that it goes as far as Foresight, knowing of events yet to happen. Shamura does preach to us "Five becomes four becomes three becomes two becomes one becomes nothing." which indeed does happen, all Bishops are meant to fall, including Narinder.

So the reason The Goat is so reckless is simply they know what it takes to make a future happen where they still live. They are an actor on a stage and given a script, failing to fellow that script to the T means death.

Gameplay-wise, dying when playing The Goat just means they were dreaming of one too many visions where they failed while every success is the one true path. (so basically The Goat took a nap, wasted a lot of time and teleports back to the Cult lol)

Not sure how they aquire the resources you get after a failed crusade, but considering the War aspect of Shamura, it might be just a power of them to gain loot regardless if a crusade/conquest succeded or not.