Okay so here's your problems:
- Most games are terrible at presenting threat levels. Absent direct GM comment, most games have absolutely no mechanics at all for judging how tough a foe is! Think of how amazingly dumb that is in a game where a bearded old man in a robe runs the gamut of possibilities from harmless old coot to literal god.
- Most RPG mechanics don't make running at all viable. In a game with monsters/aliens/whatevers, most of what you fight will be faster than you and outnumber you, so retreat doesn't really work. Honestly this makes some sense from a game balance perspective, since if the PCs were faster than the bad guys, they could kite anything without a ranged weapon in complete safety. If you've got a setting-appropriate way of effectively fleeing (Get to the car/wizard/transporter room), then you can play that up as an available option.
- In many games, a downed PC can be revived or recovered after being defeated. So even if a PC falls, there's a good case (and a fair amount of social pressure around the table) to 'leave no man behind'.
So #1 means that if you fight at all, you'll end up in fights with things that outclass you unless your system tailors encounters to PC capacity. #2 means that if you suddenly find out you're outclassed, you can't actually get away. #3 means that if one guy goes down, the whole group has every incentive to buckle down and try and fight harder (hey maybe it was just an unlucky break that downed their buddy) to stay in the battle and win the encounter. Put them all together and everybody's fighting to the death all the time.
I think if you go in hell to attack a Balrog, he shouldn't be a level 1 encounter.
So if they're level 1, why are they in hell? People playing a game want to well... play the game, and if your game's mechanics are almost entirely combat-oriented, they're going to try to fight things wherever they go, especially if there's monsters there.
There's another side to this that's important to consider. In real life, people get horrifically injured in fights, so aside from the profoundly stupid, people avoid fights. The people who can't avoid fights, like the military, try to mitigate danger through intelligence gathering, planning, training, and trying to get temporary numerical/positional advantages over their enemies at critical times.
All of those things take a lot of time and actual work. If you build your game around the kind of encounter environment where that kind of work is necessary to succeed, then you're going to have a lot more sessions spent evaluating the hypothetical ways people might do X than sessions spent actually doing X. If that floats everybody's boat, then more power to you, but from what your described, that kind of play is going to leave your group's boat at the bottom of the ocean. This is why for example Shadowrun is a game with a fantastic and interesting setting that almost nobody plays because ops planning boring but necessary.