Fair as it may be to criticize Marvel for not knocking all its characters off the board, it also misses the point. It's all about the execution of the death scenes with those characters more than if those deaths are actually going to stick, and that, ultimately, comes down to how defined the characters are. Even if someone doesn't love every character in the MCU, there's still a sense of investment into what happens to them because of how the actor portrays that character, or how they're written. Every character in the MCU has someone who like them, because Marvel has put in the work to give them moments where their characters shine, whether via a well-timed gag or explosive action scene.
And in that finale, it's very sudden and heartbreaking in the ways they get ashed. Okoye watches her surrogate son disappear before her eyes; Rhodey is just two feet from finding Sam as Falcon disappears; Steve just got Bucky back and only hours later watched him die. The survivors are permanently affected, even if the deaths are temporary. Thor's line earlier in the film about how fate wants him to survive takes on a much darker meaning now that he's failed to kill Thanos like he wanted to, and Tony Stark, who has been experienced strong paternal instincts, won't soon forget the pain he felt as Peter Parker turned to ash in his arms.
There's also the matter of what happens to these characters in their respective solo films if and when they show back up in Avengers 4. Some characters may have a crisis of faith after having been dead for a year or more, others may act considerably more reckless or guarded. The fun thing about death being a revolving door in the world of comic books is the fallout of their eventual returns and how that shapes them psychologically or physically. Everyone deals with trauma and death with their own ways, and in doing so, may allow for more character focused and psychological-based movies akin to what we got with Iron Man 3. We know that Spider-Man's sequel will be more of a globetrotting affair, and part of that may very well be because the young hero has decided that his brushes with death warrant a bucket list involving traveling the world.
Infinity War is very clearly a first chapter and was always going to be from the jump, no matter what Marvel says. But the film spends so long bringing characters together and letting them all bounce off one another or offering brief moments into their interior lives, rightly putting in the work to get you invested before dropping those bodies. More important is that the movie doesn't end with a concrete confirmation that the Avengers will get to work on rectifying the Mad Titan's evil. Rather than the typical announcement of the next movie, audiences were greeted with three simple words: "Thanos will return." It's awfully telling that he's the one the post-credits text says is coming back, implying that he will be the focus of that film, just as he was here.
Yes, Infinity War will reverse plenty of these deaths when the dust has settled, but that doesn't invalidate the experiences that everyone has gone through. If anything, it just reinforces how much they'll all need each other to keep going on in the future. The MCU has thrived when its characters have stuck together, and nothing will bond all corners of this crazy universe like a madman snapping half of the universe out of existence.