I've died quite a few times, does it have any impact on the game as a whole, or is it just a question of restarting that particular scenario?
In general, the only time dying has permanent consequence on the game (other than the obvious fact you just died) is during events that have been scripted to have an effect.
Examples include Shepard dying at the end of Mass Effect 2 if things went horribly, horribly wrong, during the "survive 5 waves" event of the Arrival DLC, the non-standard game over if you don't escape the Reapers during scanning in ME3, etc.
Otherwise, the game does not keep track of your deaths in a way that would have a meaningful impact on the game. In general, avoiding death is in your best interest for obvious reasons (quicksave often!), and if your death is going to have a meaningful impact on the story, like during a scripted event, you will notice it.