Im... actually unsure of this bit now. Ive had one of my PCs killed off once, and all that happened was i was sent to the in-between-days break. But maybe im just wrong.
Grim ?
I'm not typically on the receiving end, but when I got murdered in my last game it sent me back to the main menu. I didn't try to reload the save and instead just started a new game, but I assume if I had done so it would have loaded the game to before the murder. The wiki also says "The game will end if the PC is killed by a character with the "Evil" trait right after the NPC gives its last words"
Edit: There are modules that prevent death, but I've never really inspected them or used them. There's the
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module which supposedly works on the PC also, and there's the
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module, but that one is NPC only
Edit 2: I ran a quick test in a class with a PC and 2 NPCs, and repeated it a few times by having one of the NPCs murder me. If the PC survives and the NPC is arrested then the game continues and it skips to the next day, but if the PC dies then it sends you back to the menu. If you reload the save then it loads to before the murder.
Edit 3: So the Nine Lives module isn't doing anything special. It's just another one that applies Lucky modifiers during murder interactions.