Slight problem with the premise

So because they're in a video game and have 3 lives, they assumed when all three are lost that the game ends and they are permanently dead , but video games don't work that way. Even in the unforgiving NES days, depleting all 3 lives just meant you had the restart the game from the beginning or quit out of frustration.
Granted, the Jumanji thing was magical, but it went out of it's way to become a video game and follow game logic. Realistically, dying all 3 times should have either forced them to start back at the beginning with 3 fresh lives or spat them out with a game over screen on the TV.