Not putting any more penalties in place is important. Things can't get into an unwinnable state easily. Buying all useless spells, or leaving a Tier 1 finder orb on is much more "willful" than just dying a lot.
So, about the "opting-out" mechanic for Vengeful Ghosts penalties. It should be organic, and not just a server setting. Which means that Vengeful Ghosts should somehow grant a bonus when dealt with "correctly."
Currently, the Ghosts stay in the zone you died in, being aggressive. To "opt-out" the player merely avoids that zone, forgoing any potential rewards, and moves on. Having something like the overlord become stronger because of deaths would put a struggling player even farther behind without recourse. So, we need a mechanic that can be ignored but remains tempting to toy with.
There are three categories of players I am thinking of:
1) players who just aren't dying often
2) players who are dying often because they really like a hard challenge and are having fun
3) players who are dying often because they find the game hard and frustrating.
For #1, these players will not have any (or very few) Vengeful Ghosts. Whether or not the players are just playing on too easy a difficulty or are just too good for The Chosen One, this means the mechanic cannot be mandatory. We don't want players purposely killing off characters to access these features, or bother players who like it easy.
For #2, these players want even more challenge. They are playing at a difficulty where they will fail and they are enjoying it. For them, any extra obstacles put in front of them are welcome. An optional block or reward would be actively sought after.
For #3, this player is struggling. Putting more obstacles in their way will make them quit. The Vengeful Ghosts could either be something they completely ignore or, more usefully, direct the player to something they might have a better chance at.
As for what this mechanic is exactly, I still don't know. Some games suggest an Easy mode when you die too many times at the same place. This is seen as annoying by #2, and insulting by #3. The only players who like that option are those who didn't know it existed in the first place. Maybe the missions or obstacles brought about by the Vengeful Ghosts should be easier than whatever killed the players. Take away one thing (upgrade points) but give an option at a bonus of some sort for dealing with the aftermath.
Blocking access to a zone that has too many Ghosts in it until overcoming some other mechanic (like Vortex Pylons or increased wind) could be seen by the #2 players as a penalty for dying too often, yet allow #3 players to buff up a little bit.