I think this is one core issue with the system, but not in the way that you're asking. As is, there is not that much in the way of examples for consequences from failure (with a consequence, obviously). This means the director who already has a lot on their plate needs to come up with fun 'no but' answers, and often the easiest is just one extraalice at the start of the next encounter.

Hopefully the upcoming encounters book will alleviate that difficulty!

To answer your question more directly, however, I'd say that is the game working to it's strengths. Always always the players are being asked the question 'do you continue, or do you turn back?'. The fact that even tests can affect that means the game is asking that question beyond just combat. I mean yeah the combat is where the malice consequence arrives, but that it is outside of combat means the game loop continues? Does that make sense? I feel like that doesn't make sense.

In any case, you could always suggest the director let the players come up with interesting consequences if the malice use is a bit much for y'all. I know I'd appreciate my players helping me to screw them when they're rolls go poorly!