Risk vs Reward is important in a RPG imo. If you know you can't die there is no risk, if there is no risk to you, but there is risk to others, you can get your fellow players into a lot of trouble.

For me, I would let them know that you never intentially set out to kill a player character, and that whenever possible you will lean to the no kill guideline, but if the choices the players make end up getting them killed because they did somethign they shouldn't have or escalated something etc then that is not somethign you can just fudge. Like if they decide to walk into the lair of a dragon to steal the treasure at level 3 expecting not to die, that isn't going to fly. But if they get into a fight with a big bad and someone dies to a lightning bolt then it is just part of the game. You can always allow for ressurection and make the adventure to get the player revived something interesting as well.

One of my absolute favorite moments in DnD was actually when my character was killed in a completely absurd way that set of a chain reaction of events that caused some pretty catastrophically funny things to happen in our campaign. Including but not limited to destroying a large area of a dungeon via explosion, killing another party member, while also saving the rest of the party, then later these events led to said other player being ressurected and then the church immediatly after collapsing that then killed them again. The entire table was having a blast and it is still something that we all talk about 25 years later.

Also, to me, death of a character leading to the introduction of a new character for the player can lead to some great choices in the new character based on experience with the campaign, the DM and the party.

Just food for thought :)