First of all, I’d like to distinguish between “I died”, as in “Mario ran into a funny turtle and did a crazy animation and fell off the screen”, and “I died” as in “an alien with twelve rows of teeth sucked out my brain and then bit my head off”.
In the first case, I failed and most likely my flow was broken, but everything that happened was well within the boundaries of the Mario universe. My experience was disrupted a bit, but the immersion wasn’t broken. There’s little to fix here.
In the second case, immersion has just taken a severe hit. I DIED! How horrible! I guess I should be shaken. Oh, wait – I didn’t. I just re-spawned at the latest checkpoint. Sooo… why was it necessary to decapitate my avatar again?