This is totally the direct I actually expect CDPR to go. Failure should always be an option. In fact, it should potentially open up further options.
It would definitely add depth to your character.
There should obviously be consequences for failure, within the context of what the task was, of course.
Say you are being initiated into one of the gangs, and your first task is to break into a rival gang's hideout, and steal some item of importance. When you arrive you sneak your way through, but you find one rival member asleep on a cot in a closet. Clearly, you are not going pass up the chance to mess with him! So you do what anyone would do. You tie his shoe laces together, place his hand a bucket of warm water, while, with a sharpie, drawing male genitalia on his forehead, and... Oh shit! You've been caught!
They knock you out, take you into their chop-shop, and hack off an augmented arm. Then they toss you outside in a dumpster in some random location. You awaken, disoriented, and have failed to complete your task.
Having consequences that could physically effect your character would be interesting.
