They don't have to actively do anything. It just makes it harder for rambos to navigate their way through many units if they actually have to be scared of dying. And this is only for achers or some class who can't defend themselves. If you're infantry (especially with spears) you can't seriously be scared of a single rambo cav "sniping" a captain. It's so absolutely easily avoided that it's not good to start balancing things around the assumption a spearman can't even defend himself from a single cav player when he's surrounded by at least his own spear unit. Even an archer captain can avoid getting killed by a rambo by hiding behind his own troops, or even better, allied units which should be near.There are so many circumstances where the army as you described is not all standing around waiting to be your protective blanket from the rambo cav player.
What is playing your way? It's apparent the intended way to play captain is by using your unit in teamwork with your teammates, not getting a high K/D by abusing AI while going solo. The point of the mode isn't getting a high K/D, it's to win. This isn't Deathmatch.I am able to play this game mode freely with terrible ping and fairly often top the score charts because there is not some silly arbitrary restriction like 3 deaths holding me back from playing my way. The idea you suggest targets and restricts every player out there not just the cav players, it's not a great idea even though on paper it may lessen the frequency of solo cav killing.
It restricts rambo cav the most, then the less frequently seen rambo infantry and archers. The only time I really die in captain is when my unit is already being torn apart by some infantry unit, or then a rambo cav manages to kill me once after he has died like 5 times already and killed at least half of my archer unit. My third death is very much always as the last troop in my unit. Most players play with their squad and don't run around doing extremely risky tactics which get them killed. Oh wait, there's no risk in running behind the enemy line to turn the AI around because you only lost the first one of your 23 troops. This would make the "risky" tactics even have a risk to it. Now it's pretty much just having a meta that requires you to cheese.