In short, We Cannot Go on Without You as applied to strategy games: Story-relevant characters appear in some missions as units in the player's army, to participate in the player's actual gameplay battles. They may be average or above-average units, or even carry a special designation such as "hero" -- but since they're participating in battles that are waged in large numbers, there's a very real possibility that they may get lost and killed in all the firefighting. How can the story proceed without a central character? It can't, so the game tosses in an arbitrary mission objective: " must survive". If they fall, it's instant Game Over.
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