When no lives left it doesn't go to next frame.

I think I've noticed this before
"jump to frame" actions work ok if you run the whole application (F8)
while "next frame" also works if you run single frame (F7)

This refers to "testing" - in your final build both should work anyway!

Your file is working fine here with "next frame" on F7
and "jump to frame" on F8

also works fine with jump to frame -- use a calculation -- "3"
both on F7 and F8

don't know if it can be a small issue/annoyance with the free version? :o

I've just tried building a Windows .exe from your original .mfa and it works just fine
so -unless there's something specific going on in your machine-
I'd say you can be pretty sure it's going to work

Unfortunately (as far as I know) you can't build executables with the free version
I seem to remember you can build HTML5 though (limited demo version)
have you tried doing that?

You can try to hit build & run (Ctrl+F8) and see what happens
maybe strip out some extra code if the limited demo version doesn't allow to export as much as you need

I loaded up the free version and didn't seem to have any problems running this file.
When an arrow hit the guy it jumped to the game over screen.

Odd.

Maybe your PC is having issues loading the next frame for some reason. Try jumping to an empty frame and see how that works.