My question is, can you still die while doing a set dungeon? I been scared to try it even though it says you can technically die from it. Would that still matter for Hardcore?

From the Daiblo Wiki.

Set Dungeons are tricky, but not risky. The monsters are not very high level (corresponding to about Torment 4) and dying in a Set Dungeon (even in Hardcore mode) simply fails the challenge and resets the player to the dungeon entrance. Players can attempt the same Set Dungeon repeatedly, in the same game, until they triumph or give up.

https://www.diablowiki.net/Set_Dungeon

Wow thanks bro!