While watching a horror movie, we feel scared because we empathize with the main characters and so, their situation must be something that would scare us (namely, something that makes them helpless). We need to be scared of something terrible happening to these characters. The rules of AHS: Coven (established and changed as the show went on) allowed multiple characters to come back from consequences that should have been permanent. Myrtle, Madison and Zoe are all easily revived by other witches after their deaths. Although this is a skill mentioned in the series, the nonchalance and frequency with which it is used by the writers reduces any impact or worry that the audience has.