In addition to Ogilvy, Henderson (the journalist) and Stent (the Astronomer Royal) are the characters in this story whose main job is to be incinerated. (It's one of those jobs that doesn't require a lot of previous experience – everyone's qualified.) We don't get much background information about either person, so we don't feel too bad when the Martians get these guys.
Let's look at their deaths another way, though. You know how on some TV shows, like Star Trek, the main characters – the characters with names – don't get knocked off, so we don't have to worry about them dying? (If only that were true of Game of Thrones.) Well, in The War of the Worlds, the first action the Martians take is to kill off three characters whose names we know. That's just the tip of the iceberg of what they'll do, but it sends a message to the reader: this is going to be bad. Do we really need three people to get incinerated for us to take the Martians seriously? Probably not – three people might be, ahem, overkill. But maybe overkill is exactly the point.