Close your eyes and think back to the Nintendo days. The old Nintendo games weren't just hard, but extremely difficult. Beating a game on that system was like climbing Mt. Everest while constantly being kicked in the face, throwing you back down to the base and having to start all over again. Ahh, those were the days.
Well, Sky Avengers isn't that difficult, but it certainly isn't a walk in the park. While losing all lives in a level means game over, you don't have start all over again. Instead, you start from the level you died in, but lose all the power-ups you picked up before your death. This in turn makes the game quite challenging in the later levels. It's a double edged sword.
The point I'm trying to get across is to simply enjoy the game for what it is.