The rules say a hero is added to the fallen heroes list at the end of a scenario. The rules also say there is no penalty for losing a scenario and you can just retry from where you lost. Does this mean heroes are only added to the fallen heroes list if they perish during a game you won? That would be fairer and make more sense. But this game is never that nice!

Yeah, you are free to retry a scenario and don't need to add heroes to the fallen heroes list unless you win and plan to continue along after that win. After all, if Frodo is killed you would lose the scenario, but you couldn't exactly put his name on the fallen heroes list and then try again!