Not sure if this is all too complex for you but basically you need to set the script of your characters level that corresponds to stats.
So here you see defense, intelligence, agility, max HP, HP so on and so forth. This is what sets the player's initial stats in the beginning of the game. The variables check out accordingly. Now when player levels up these values will change. But what you need to fix would be the scene your character enters in. So when your character enters a new scene it shouldn't have the event If ($HP <=0) YOU ARE DEAD below:
As seen in this image, your next scenes shouldnt have this anymore so your character doesnt die. You just need to have a fresh scene and allow your character to go to that scene without this.
Did I get it right?