To answer your question no theres no penalty when doing the death arena the death arena is where you can free your parents which is one of the options with no risk and just fighting 2 easter bbeast to free them of course you lose the 100 powder you get so you can free your parents but the death arena is where you get the best weapon (currently) in the game which is patrica that deals nearly a 100 dng per shot but your gonna need a good weapon and alot of healing to beat the enemy's since each one you take down you get closer to the champion and once you beat the champion you get a crown as a reward and a good perk (wont spoil what both does) so yeah no penalties for participating.