> years and years of shows where you are 100% certain characters will be unharmed

Unless your culture sphere consists solely of children's books and Disney movies, that is just a bizarre thing to say. Heroic deaths and tragedys has been a staple of storytelling since the dawn of time. Greeks even had a word for it. Any random book (for adults) during the past several centuries is likely to include the subject, with a hundful exceptions of course. But a classic way to build tension in storytellin is with a tragedy.