I found this question quite interesting and stimulating.
Before I address the question as asked, let's consider the broader question of attempted vs. completed crimes.
We might begin by making a distinction between allowed sentences vs. sentencing in practice. We can ask in the general case two questions: (1) Are allowed sentences for attempted crimes the same as for completed crimes? (2) Are actual sentences for attempted crimes lesser in practice than for completed crimes, and if so why?
I checked "Felony Sentences in State Courts, 2006", published by the Bureau of Justice Statistics, U.S. Department of Justice.
A footnote on the first page struck me as both surprising and important: 94 percent of those sentenced in 2006 for felony offenses plead guilty.
Intent is an important element of criminal prosecution, but in the case of attempted crimes evidence of intent may be less tangible. Plea deals securing a conviction might in some cases include decreased sentencing recommendations by prosecutors.
Also, attempted offenses include crimes of omission and crimes of abetting where no direct action was taken, which again can lead to evidentiary issues.
As for whether allowed sentences are lighter for attempted crimes than for completed crimes, that varies from state to state, but I suspect that Arizona is fairly typical. According to Arizona Revised Statutes, Title 13, attempted crimes are classified one level below the completed crimes of which they are attempts. So for example, a Class 1 felony is as an attempt a Class 2 felony. A Class 6 felony (the lowest) is a Class 1 misdemeanor (the highest).
Since offenses of adjacent classes generally have overlapping allowed sentencing ranges, the theoretical difference between allowed sentences for attempted crimes and those completed, may not be significantly different, except at the margins.
Why should there be any difference at all? One possible theory might be that more serious actual consequences should be treated more severely. For example, an attempted burglary that fails to deprive victims of property, versus a completed one that does. In this interpretation, the idea is not that the intent is any less culpable, but that the consequences, being more serious, should be treated more seriously. This strikes me as defective reasoning; but in a case where strong evidence permits aggressive prosecution, the actual sentence may be about the same as for a completed offense, at least in theory.
This brings us to the original question, which deals with capital crimes. There may be states where attempted capital crimes can be punished with death, but if so it must be rare. Again, lesser sentencing for a heinous crime that fails despite the best attempts of the criminal, seems misguided. However, it may be that past abuses of capital punishment resulted in appellate decisions that became part of case law or common law. I'll be looking into this further.