Another series where the hero never dies is Halloween, depending on which timeline you wanna watch, lol. First movie, Laurie Strode lives, second movie, Laurie Strode lives......and then you can either continue with 4-6, or skip to 7. In 4, Lauria Strode is dead in a car accident, and Michael Myers wants to kill her daughter. She lives, and he comes back in the 5th movie to kill her, she lives. She gets killed off in the 6th movie, but that movie makes so little sense at all that they had to pretty much retcon 4-6 with Halloween: H20 (7). In it, Laurie Strode is alive and well in California under a new identity. Michael finds her, kills people, but in the end, she kills him, and I thought it was the perfect end to the series. Good triumphs over evil and the hero got to live. Then they came up with the convoluted "Oh that wasn't him" story, and made an 8th movie where Laurie dies, but I like to pretend that didn't happen, lol.
Not all horror movies/thrillers have the cliche ending, but a lot of them do simply to have more movies made about them, and as I've demonstrated, even when they do try to give a series some finality, studios will find a way to make more, even if that means a remake or reboot.
P.S. Don't get me started on the Rob Zombie remakes.........