Because it builds a sense of accomplishment.
Otherwise you'll soon end up with "no game overs" gameplay and can't even die.
I'd rather see a sense of accomplishment built over seeing bad things happen to characters you care about and the story taking ugly turns you could have prevented as opposed to 'you picked the wrong choice, you die, reload and pick the right choice stupid!'.
Which AP actually does a good job with IMHO.
Not sure what you mean by that.
Failure scenarios rarely involved an instant game over (unless you did something spectacularly stupid when they are justified). Failing a quest or getting not the aimed-for ending used to be the common consequence of your actions.
And I could not see much storyline affecting choice in AP or any failure options.
AP storyline always demands a choice of lesser evil and leaves no room for screwing things up.
I certainly did.
The whole game I was supposed to save the world by stopping the plans of my enemy.
Eventually the game allowed you to either ignore or stop those activities but all that eventually came to naught.
Different voice-over during credits was far too little consequence for choices that were supposed to make monumental difference.