>>43297171If you're feeling bad about it because of how it makes a player feel to spend all that effort making the character, or because of all the time they spend with their characters, and their development, a good solution is to be honest with them at the beginning.
Even if you're starting a super plot-heavy game, tell them, emphatically, at the VERY BEGINNING....even BEFORE MAKING THEIR CHARACTERS that you absolutely do not intend to throw them a bone. Make SURE they're aware that if their characters fuck up, that's it, they're gone. You can also subtly remind them during the actual game, but don't go overboard.
As long as players go into it knowing what to expect, everything should be fine, and they shouldn't have any reason to get upset....unless you do something like kill them in their first encounter.
If they still get upset, then they're just being a candy-ass, and you shouldn't include them in future high-stakes games.