Over-exercising addiction actually has serious consequences on people's health, as it causes stress fractures that are often exacerbated by them trying to "power through it". That being said, few people actually have this sort of problem, and one shouldn't avoid the gym simply out of fear of becoming addicted.
I'm sure a few people die rock climbing, but it's mostly going to be people who get confident, and put themselves in positions where a mistake (or even bad luck) is fatal.