Actually yes. For me the fun in RPG are to roleplay your character(s) and if I know beforehand that I could always just reload from my latest save it just lost some of it charms. Nowaday many RPGs let's you resurrect your character(s) with some penalties so you can still finish the game even if it becomes harder.
Then again I have never ever finished a RPG since the early 90's.
I actually agree, also(excuse the reference) in Diablo II there was the "Hardcore" option, that was awesome, if your character died all your crap fell to the ground and you were gone, there was no reloading, no second chances. It was EXTREMELY frustrating, but also fun.
RPGs have gotten too easy nowadays, with no sense of danger or possible defeat. In Fallout 1 if you didn't return the water chip to the vault in time you lost.
Anyway....on topic. OP just keep trying you will get better. Venice was maybe not a good choice for your first game.