What is this punishment good for, how is it better?
Permadeath and similar punishments increase tension and force you to play better. You don't need to be cautious if you can't be hurt.
Tension is maybe better for you, not everyone. And you are likely in minority there, people prefer to relax. But you are forced to play better either way. If a game requires skill and has progressive difficulty you will not advance until you get better. The only difference is you don't rewind as much, it's not easier, just faster.
You don't need to be cautions if you don't mind re-playing the same thing over and over, but if you want to advance you will need to, just the same. Save-scumming doesn't make you invincible, and rewinding back to the beginning of the level is punishing as well, it's punishing enough.
You don't need to plan ahead if you can turn back time.
If planing ahead is necessary than it is necessary either way. Save-scumming doesn't make you invincible, if you failed to prepare you will get stuck unable to advance. Also, you can not plan ahead if you never completed the game before, it's like trying to do a speed run on your first play-through.
There's nothing exciting about winning a game when there was no possibility of losing.
Losing what? The only thing there is to lose is time. Save-scumming doesn't make you invincible, you fail and try again just the same. You lose in either case, you loose time, just not as much.
Excitement is not the only thing that makes games enjoyable. Experimenting with different tactics and trying to push a character as far as it can go is fun as well, if not more fun. I also prefer to complete a game first and then decide if I really want to be attempting to beat it with only one life, or is it worth playing at all.
Different people like different things. You go ahead and play with only one life or sit on a cactus if that makes it more tense for you. You don't see anyone complaining other types of games have easy difficulty or save option, if not for you those options are for other people, and then it does not concern you.