To make this a more enjoyable game for my kids we play this variant.
If one person loses all their soldiers but other players are fine being either ahead a sector or even in the bunker. We let the player with no soldiers start at the first sector again. If however everyone loses all their soldiers at once then we all lose.
We have found this variant to be more fun, as my kids being younger don't understand or like the fact that if they are doing really well and have lots of soldiers etc they still lose if someone else in a total different sector loses all their soldiers.