There are no lives and you can retry as many times as you want. But going back to main menu indeed deletes the progress. There is no warning about that since the game takes around 10 - 15 minutes to finish so I deemed it unnecessary.
not when I played I died twice on when getting the key from the lab coat and kicked me back the title screen. Before I could even get my barings on how to deal with the moster. It was very upsetting.
