As I said, we played the mansion twice and while he killed my Union he only lost his Schocktruppe and got his Heizinger and Zermann badly wounded... The other time I slaughtered him. ("Hey, behind that wall is their leader *bang*" "Look there's that dynamite woman *whip sound*" "Big... machine gun.... must... KILL *slice*") And because he didn't even managed to kill Eva while he had a very good chance to, (I had plenty of victory points...) he ended the game, having lost all of his heroes without dealing more damage than two wounds... Well, bad luck at some points, but being a bit unlucky shouldn't tip the odds that much in the opponent's favor.
Of course your variation is also an idea, but personally I don't like to play a game, where I'm just trying to cut my losses, knowing, that I'll lose eventually. (We do that everytime we play Doom already, but if you play with three marines it's at least a lot of fun ^^)
@supervike he, yeah, that can happen, too (imo Zermann is the best soldier anyway ^^) personally I also like the insta-kill weapons, but sometimes I thought that there where to many minis running around with them.