There is good reason why the heroes should die in that case and arguably many others.
Yes, but it is on no interest or value to me.
Sometimes the nature of the evil that is being portrayed is so monstrous that even the best of heroes have little chance (i.e. under Communism).
Ever heard of having the heroes creating rebellion?
*Double Spolier*
That is what Terry Goodkind had Richard do in Faith of The Fallen and what I am going to have Fortis and Ktelris do against the Warashan government and then the Vescan Empire in my book. OK, admittedly that was not Richard’s intent, but it will be the intent of Fortis and Ktelris. The reason I am doing that because I see good defeating evil to be of value, but good dying because of evil or killing themselves because they cannot handle the evil as evil winning, which is of no value to me.
*Spoiler ends*
And what about having the heroes escape to a freer nation? It would be very hard for the heroes to manage since such nations try to prevent that. But histroically it has happened, so it is realistic that the heroes manage it.
To me either of those scenarios are valuable, but the end of We the Living is totally lacking in value to me. They are superior to the end of We the Living as far as I am concerned. Besides, as I said, We The Living’s way shows evil winning and good losing. That is innappropriate of art.
Sometimes the best way to show just how evil and self destructive something like Communism is not to paint a perhaps less realistic scene where the heroes somehow succeed under a system where this is virtually impossible, but to show that the evil being portrayed is so destructive that it can destroy even the best of men, indeed the death of the heroes might be consistent with your message.
I think if you are going to do that you should kill of a secondary hero, not a primary hero. And if you are going to kill a/several primary hero/heroes, which I do not think should ever be done, then you should kill of one/several and leave others alive and have them successful in the end. Either of those is consistent with the goal you mentioed, and it alsoe has the valuable goal of showing evil as defeatable, which to me is far more valuable than showing evil as destructive.
Ultimately, I do not see how having all of the heroes die like that is any different to the art DarkReaver13 linked to. And ultimately I think showing succesful heroes is infinately more valuable than showing heroes die.
Edit: I clarified where the spoiler ends.