THE argument from me, as to why having death (a permanent death) in important: if there is no risk of death, then what is the actual challenge? What is the purpose of taking creative means to beat a given challenge, rather than just throwing yourself at it over and over until you succeed? Story-wise, how can you account for EVERY enemy choosing not to kill you when, in all likelihood, you're killing them?

Death does a few things, all of which I think are vastly important:

1. It gives drama. D&D is a story, and nothing is more enticing to a story than drama. Think of a popular action-heavy film - let's say John Wick - and tell me, what prompted the entirety of the action? Drama over a death (arguably, over two deaths, but that just emphasizes the point). Drama connects players to the story and to one another.
2. It gives motivation, to both players and characters. You want revenge on the enemy, you want to achieve a means to stave off a death (in my campaigns, the only spell that can bring back dead is wish), you may even make a pact with an evil entity in order to achieve some kind of means (a way to bring back the dead, a way to defeat the powerful enemy that killed someone your player was close to, etc.). Death is a driving factor that spurs advancement and can even provide interesting twists to a plot, devised by the players themselves.
3. Death shows that your world has consequences. Death encourages preparation, it encourages thought, it encourages creativity. How do I avoid death? What tools, skills, and spells do we have at our disposal to try to ensure that we all make it to tomorrow? If players know their characters can't die, they're highly likely to respond to that meta knowledge by not taking their characters actions - or the game - seriously, which is disheartening for both the DM and the players that DO take the game in such a way.
4. The game is created to realize that death is a very real possibility. PHB, pg 197, talks about death; it's never once referred to as an option. In fact, the module Tomb of Annihilation is specifically crafted to embrace everything I've stated.

I'm not saying that you should go out of your way to kill your PCs. I'm not saying you should punish every single action/inaction. I just think it's highly important to have a conversation early on with your players and tell them: actions, including inaction, have consequences - up to, and including, death. Then be respectful of the time and energy they put into their characters; if they're going towards an incredibly dangerous goal, give them details that make them realize that this is probably a bad idea. Give them opportunity to recognize and avoid it, and if they choose to continue on, roll the dice honestly and see what comes from it.