We already discussed something similar, but we decided back then, that we won't add it.
The reasons were quite simple:
You should not get rewarded to let your hero die. It should not be more beneficial to send your heroes death instead of rescuing them.
This will lead to situations in which one palyer wants his hero to die, while the other one ignores him completely, as he would loose more by killing him.
Killing a hero should not punish you, but reward you.
No matter if it is a strategic aspect, it will just feel frustrating for the other player, because he shouldn't kill the hero, while the hero kills his units. Also sending Aragorn, Gandalf or other famous heroes into their death should never be the best way to play the game.
A hero shouldn't be worth, because they are strong dying persons. Heroes should be strong because of what they do, when they are alive.
Also I wouldn't say that evil factions all would run away.^^ Angmar always ways very fascistic - so I don't think that they would run away, but try to kill the enemy no matter what.
Also I don't think that Uruks would give a fuck about Ugluk or Lurtz dying.^^