I believe that this topic has been discussed several times already and the change request was denied for several reasons. One of the reasons was that mercs, soldiers, NPCs use the same code for calculating damage and finally death. There are thresholds for certain stuff that apply to any being in the game. All of this should be changed just because someone doesn't want to load the last savegame? I doubt that any coder would be willing to rework the whole code, playtest it afterwards and fix all the bugs that he implemented in the process.
Also it makes absolutely no sense to give mercs an advantage like this. We can kill the enemy with one shot and our opponents can't? Why?

Players can already play soft ironman mode which allows to save anytime except during turn based combat. Got one of your mercs killed? Just go back to the last savegame if you can't live with it.