Many prophets and messengers were killed. See:
Aal Imran 112
Prophet Yahya’s was beheaded. Prophet Zakariyya was split in half. So many prophets were actually killed.
As for Allah saving his messengers, it means:
1- Their message is saved. The truth does not get lost. Eventually Allah supports the truth and it survives. The message of the Imams has survived throughout the centuries.
2- Allah saves them in critical moments when religion is dependent on their survival. When their enemies try to stop their message and end their religion, Allah saves them. But once they have delivered God’s message, they can be martyred. Martyrdom is the most honorable way to die in the way of Allah.