Old enough to know better
If we're talking games like Rogue, Moria, Angband, that is part of it. You generally have enough information (if you survive early levels) to gauge your risk in various situations but to progress you need take risks.Sounds to me like part of the thrill in roguelikes is similar to that of high stakes gambling. When you win, you win big, and (in theory) it's all the sweeter because everything was demonstrably on the line.
Of course opening a door and being breathed on by an ancient green dragon can ruin your day, but whose fault is it you didn't Detect Monsters first?