Being the sensitive and naive type I am, I do want to avoid any actual deaths, and that is one of the things I actually like about Pokémon. While they do make it clear that death happens, they don't actually make you have to watch it or anything.
After all, I'm the kind of person who will actually be upset if one of the charaters in a story dies, and maybe even cry about it. Even though it's "just a story" or "just a game", to me, in one sense or another, they're still people. Especially the more characterization they have.
For example, I actually feel bad on the game Oblivion for killing people who can actually talk to you. Everything else, I figure, is just battle-fodder. It's there for you to kill it. But if it can talk to you, I just can't think of it that way. (I'm actually the person who loves merchanting things much more than the bloodfest. My favorite trick is to be a merchant and alchemist, buying cheap ingredients, making them into potions, and then selling the potions for more than the ingredients cost...)
I don't play games to kill. I play games to collect things, level up, and feel a general sense of accomplishment. Death is sad, no matter how you write it.
Part of the problem with the Pokémon games is that you can't feel the sense of danger. Even if you know the main character's going to live, when you look at the way things are only now in the story, you should feel like the characters are in danger. It's a balance between your story being too grim and being too ridiculously fairy tale. That's how I see it.
I realize that that's just me, and that a lot of people are for some reason fascinated by death (just like some people are fascinated by fire - I'm paranoid about fire, myself...). But when I make my game, in the end, it's not umpteen fans that I'm making it for. I'm making it for me, and for my vision of how it should be.