A minor thing, but Jack Slater dismisses Benedict by saying "Why am I dealing with a putz like you when I could do something dangerous like rearranging my socks?". How is rearranging one's socks dangerous? Well, in every movie, when Jack Slater comes home, he shoots his closet, killing the assassin hiding there, and given his blasé reaction to it... He basically resigned himself to the fact that he's gonna shoot assassins hiding in the closet for the rest of his life. Rearranging his socks will forever involve dealing with the assassins hiding in his closet. That's why something as mundane as rearranging one's socks is dangerous according to Jack Slater.
There's also the possibility that some off-screen villain may actually rig his sock drawer with an explosive booby-trap, and Jack has resigned himself to this as well.
He's also probably just speaking ironically because rearranging ones socks isn't dangerous at all, boasting by contrast how little a threat Benedict is to him.
The Ripper's axe makes a loud "unsheathing" noise every time he moves it in the opening scene. Later in the movie, in the real world, it hardly makes any noise at all.
While action movie characters coming into the real world and deconstructing the fact the normal narrative cliches don't apply...Death, a supernatural entity, keeps his powers in the real world. This implies that the abilities of a fictional character aren't changed, merely how they effect the world around them and vice versa. Had Benedict succeeded in his goals, all the monsters he thought to bring to the real world would've kept their powers...but no longer be confined to the rule of 'the Final Girl wins' or have their victims protected by Plot Armor and in a world that would have no idea how to counter their abilities.
This may be an aversion. There's an indication that there is a short period of time that the characters' abilities work and that the longer they stay in the real world, their abilities slowly fade. Jack breaks a window of a car by punching it. He says it hurts, but his hand is okay, no indication that he suffered any broken bones or scraping from the glass which would be common in a real world scenario. So, while Death's abilities continue to work outside of the film, there's the likelihood that his abilities will slowly cease to work. That means any monster characters could also lose their abilities as well, meaning that nigh invincible slasher character won't be protected by the Plot Armor anymore either.
Why is Danny a latchkey kid who keeps running to action movies? We get a few clues. His mother makes a remark about how she didn't plan to be a young widow raising a child alone, so we know his father died and did not divorce or run out on them. He's obsessed, not only with action movies, but with Jack Slater as a man who is always going to win and never going to die. Once back in the real world, Danny goes off on a tear about how this world sucks, because bad guys can win and good guys can lose or die. All of this strongly suggests that Danny's father died in a violent altercation, possibly while trying to prevent a crime. How can Danny trust Jack out in the real world? His first and greatest hero died. May double as a tearjerker.
The Grim Reaper is still running loose by the end.
Considering how rule-bound he is, maybe he went back into The Seventh Seal voluntarily.