To be fair, most 40k marines literally don't have a concept in their brain to worry about dying.
When they say the Emperor protects they mean it both figuratively and literally, he didn't "completely" die from those shots due to His grace and marines themselves are the extension of His will.
Better gig than thier fantasy equivalent you just respawn like an log horizon character losing a bit of your mind each time until you go mad(or an ogre eat's your lightningbolt-soul)
