I don't actually see what the question is there, unless it's "do you feel the same way." And to that the answer's yes, and I'm sure others have anecdotes but don't want to spoil them, but like Anakin Skywalker dying in the Star Wars game or something.
As far as my own game hosted here, I agree though, you totally root for some characters or some interesting things to happen. I would have been more stressed out about my Lizard, but CCRunner did well, and the Innocent player who's goal and ability was to find and expose the lizard, was inactive, and when replaced, another Mafia team panicked and killed him
It's not just when a character dies though - I also hope the little things catch on. If I were hosting the Simpsons game I'm sure I would have agonized over a lot again because that one is utterly loaded with little details. Again the example from my last game, I was disappointed the clones didn't work out - the 4 players who were clones of each other, but like 2 were inactive, one died early and the last didn't catch on right, and no one else seemed to make it an issue y'know. Or even further, like how with Mafia cover roles I tried to intentionally add a little flaw to them, like James Madison signing the Declaration of Independence...when it turns out almost no Mafia ever even used a cover role at all that game, let alone got to the point of Innocents trying to figure out such.
The only way to avoid some of the stress is if all your characters are roughly the same level of importance - impossible in a normal Mafia game though, Mafia or power roles just have to be something more. But if all players are active and interesting that helps too. Anyway I know for the upcoming game I have now since players are designing their own characters in great part I won't have to get attached to anyone needlessly, though I hope some of the really neat mechanics and factions work out still.
One very last related thing I was reminded of though, just hosting games in general - well firstly, I never too much like when things are decided by random chances on the host's side anyway, perhaps just as a preference, but it can also be done wrong by bias by the host. So I'd avoid that in favor of deterministic things even for complicated situations, like 2 killers attacking each other, think of that and have a reason things work out. But I'd try to avoid giving "random" chances to events in the game too often when there's not much need. Like "You have a 20% chance to roleblock someone" isn't an ability I would try to ever write, I would avoid that like the plague, much better to just say "3 times during the game you could roleblock someone" and then the player at least knows where they stand. If you really have to make things random (hopefully, again, for a better reason than the above, and I'll admit I have done and will do random things when hosting a game, but try to have it be a good reason) I would recommend making your set of random numbers at the very start of the game, and sticking to it. Don't let there be a "50%" chance of someone dying, and then when by the player actions that someone turns out to be a Mafia godfather or something, you have to decide "oh well the chance failed this time" - list the numbers beforehand, stick to them regardless.