Lady Death's portrayal was different in the movie than in the comics. As in the comics she wasn't portray as a heroine at all. Also her father wasn't Satan in the comics but as a seperate character, while Satan had no alter ego.
She doesn't feel pain when receiving an injury. She can never feel cold or warm no matter what temperature it is. She doesn't need to eat or sweat at all. She most likely doesn't have to breathe so her heart doesn't beat at all.