Gladiators are not invincible. While you may have great luck for a while, there's always the chance that your Gladiator will meet his or her fate in battle. When/if your Gladiator dies, they will not come back to life... they are permanently dead. However, the experience points you earned were not in vain. Half of the experience your dead Gladiator earned will be transferred to your next Gladiator! For example, if your Gladiator died, and they had 30 experience, the next gladiator you purchase will have 15 experience added automatically boosting them to level 3, and giving you 6 points to allocate to them how you wish.
So while death may set you back, it's not the end of the road. Look forward and push on!