To me, if the players know they won't die, they make stupid decisions. there needs to be a healthy fear of morality in their character. which means you also need to have them feel invested in their character to care about that.
So as a Gm you have to make sure they know, "you are first level, you should run when you hear there is XYZ obvious higher level monster in the next town." as opposed to either "who cares if we die, it'll be worth the loot." or "We can fight it, the GM won't actually kill us." or worse, both.
Healthy fear for morality is a good thing.