The problem with combat heroes in general is that they could simply get unlucky during a single fight, and then they are gone forever. Luck has always been an issue in Civ, but with the sheer number of units in a fight, the side with more guys and bigger guys still always wins. I propose giving them a set number of "hit-points". Everytime you kill them, they lose a "hit-point", which they can only regain slowly if they retreat and stay in place for a set number of turns to lick their wounds. This way, they won't die from a single unlucky defense, as it is a lot harder to lose three 99.95% battles than a single one. However, if the owner of the hero lost their army and their hero is caught alone, they can still be dogpiled and destroyed, especially with a bunch of melee units promoted with drill rather than combat. This, of course, will be balanced by reduced strength.