I seriously doubt we'll see SE add a death penalty, for obvious reasons. They have enough areas to improve the game that will be accepted by the overwhelming majority as an improvement that they can focus on. They don't have much room right now to alienate half their playerbase.
Though, I have to say as I've ranked up, death has had more of a feel of penalty. This is mainly due to having to fight your way back to where you were if you were SPing out away from an aetheryte. Mor Dhona can be a pain in this aspect, because a lot of things are agressive and maybe you only got through them with the help of your group, and maybe they only got through them with your help, so your death has just put a big dent in the SP grind.
Of course raise negates all that, which is one reason I think raise isn't useless, for those that feel it is.
Though I also think it's a silly argument to say that you fight harder/better/faster/stronger if you know you're going to lose XP or something. I mean, I can understand this when you're killing just for SP, sure, you're doing it to gain SP, so you don't want to lose it. And if you're soloing, it makes sense, plenty of room to be selfish when you're soloing. But when you're in a group, it's pretty crazy that your SP bar is your main priority, especially if you're fighting an NM or something for loot. You're not going to 'give it your all' just because you personally don't feel it's worth your effort because you don't have a good enough reason to stay alive?
It's different for everyone. Personally I think it's great that a small group of 40s can do something like "Hey, let's go see how hard the great buffalo will wreck us." That's something you do for only 1 reason, fun (or the free return, but in either case it's fun).
Fun and comradery create immersion just as well as fear. Death penalties impact both of these. It does in fact make certain events less fun, and it makes some more exciting, but more often than not the emotional response (which indicate immersion) can negatively impact the fun factor of more than just the person involved. It disheartens people and breaks groups. The more hardcore players are nearly immune to it anyway, dying is a party of progressing, and the penalty that comes with it is just a part of the game... but if that's you... is it really immersing you?