They should let you go to the next level if you have any party members left. As it is, it's a one time shot. There should be a bonus for caring about your fellows.
Quote from Dragons of the Dwarven Depths, p259 ... Tas talking to Tanis after saying a prayer for the Gully Dwarves.
"It was good of you to think of that," said Tanis. "None of the rest of us did."
"You're busy thinking big things," said Tas. "I keep track of the small stuff."
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