Yes, it is that difficult. You may start over at the tenth+1 round if you fail in between a transition point. So, if you die at round 35, you may start over from the 31st round. HOWEVER, your Jiminy Points are not recorded until you defeat Hades, which means you will need to start from any point, and survive until you defeat Hades to get it in the Jiminy Journal.

A good suggestion would be to not die. Accomplish this by taking full advantage of the "rules" of the rounds, which are identical to certain Cups. You also need the best equipment that you can obtain, such as Ultima Weapon, Strength, Defense, and Magic Ups.