It kind of ruins the challenge of a level if it is some kind of "play until you win" thing. I believe every platformer should have "lives" and a "game over" feature. Doesn't it make things more interesting?
It may be frustrating to restart a level all over again, but is all that really so bad if you can get back to where you were?
If a "Life" system gets added, we could add "extra lives" as collectibles, too!