I agree with you that somebody who risks something is more heroic than someone who is invincible in the first place.
Interestingly, going all the way back to Greek mythology - a hero was simply a person who sought adventures and (often) challenged other people or creatures to a fight. I think we've come a little bit further nowadays in saying that heroes are people who save the lives of others. Some of the heroes in mythology wouldn't cut it today.
But have you noticed how we still call sportsmen (and women) heroes? What's heroic about sport? About beating (crushing, annihilating) another sports team, another country? (I mean I love sport more than most and as much as many, but heroic?) It's like we fight our wars on the sports field now, and everyone shakes hands afterwards.
Firemen, cops, the teenage boy who risks his own life to rescue a drowning girl - those are heroes. For a language rich in vocabulary, English has surprisingly few words to differentiate between different levels of a thing.