There are only 8 levels in the game, but save often with multiple saves. I just beat the game without a "Hero" dying, but the achievement didn't unlock. Here is the reason. Any type of Character the you "summon" to the battlefield, counts as a Hero, which I had heard before. But, there is another that also counts that I didn't know about. The Eagles that you summon from your Elven fortress, also count as Hero's! Therefore I had an Eagle die on level 8, and the achievement didn't pop.
So don't let any Hero's die for all 8 levels! The achievement should pop at the completion of level 8.