Not only a lack of respawning, but sheer levels. The rough level of a top-ranking adventurer is only in the 30s. Some dragons might push 60. What's more, even in Overlord canon we've yet to see an actual respawn. At this point, it's only theory that Ainz could respawn with the usual penalties. For all we know, he might need resurrection to get back up.

As for how to involve a new worlder, it's not complex. Perhaps they were out hunting monsters when the players arrived nearby; maybe they were praying at a temple and, as if in answer, the players appeared in a flash of light.

Mind, I'm not insistent on playing a new worlder, just putting the question forth.