when i play with my ogryn with shield and veteran runs in to poke DM with his sword im like “For Cadia! For Emperor! I mean you will meet Emperor.” 
maybe ppl dont know they can die
Yeah, I agree. Especially if you have 2 grims, but all the time? Almost nobody wants to kill it.
You block/dodge, you can’t do the dance forever but at least on Malice and below you can do it long enough for your team to kill before you get downed. Basic rhythm is block a hit, dodge 1-2 times to create space, repeat. You’ll build up corruption but with any luck mitigate a lot of the actual damage. You’re at the mercy of your teammates when you do this so best bet is if you’re not coordinated don’t be the one that shoots it first 