They probably do, but my guess is they still fear the pain.
If you think about the Crucible from a lore perspective all that repeated death within such a short amount of time seems kind of gnarly.
I guess folks can get used to anything if they experience it enough times.
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They do get used to it after a while, for sure. Cayde’s death and the Red War kind of shook up the whole idea of immortality for a lot of Guardians I’m guessing, but we are still pretty okay with it.