In Bender's Game, when they arrive in the D&D universe, Greyfarn the Wizard explains that if they're killed in that universe, they'll be killed in the regular universe too. Later, Leegola kills the Zoidberg cave-monster (several times), mistaking him for the Tunnelling Horror.
Why wasn't Zoidberg killed in the regular universe too when they returned?
Zoidberg didn't die in the real world because he didn't die in the fantasy realm, as you can see from this scene near the end. He seems to get perpetually reduced (from a giant worm down to little more than a mobile head with legs) but at no point is he actually killed.
There's also the possibility that Greyfarn the Wizard is talking complete rubbish. Literally the next words out of his mouth are that ...
"Cornwood's troubles began hundreds or perhaps millions of years ago"
... so he can hardly be counted on as the most reliable of sources.
