Would it be possible to define a fall height to teleport players back to the starting point of the course? i.e. if a player falls more than 3 blocks in height in a specific course, teleport them back to the start. That way I don't have to outline the course in death blocks at the bottom or have it above void.

Wow, 5 years ago.
This has been implemented in the pending 7.0.0 release.
Per-course setting of MaxFallTicks, also being able to set it to 0 to disable it.
Also able to set fall-damage to false to cater for dropper style courses.

This is already available, in the config.yml find "OnCourse.MaxFallTicks", change this to a lower value to find out what your preferred value should be.

Could it be defined per course in case some parkour areas have long fall heights to the next block? Or alternatively, allow defining fall zones?

Having option to set MaxFallTicks per course would be very beneficial. we also have some maps that player needs to fall down for about 200 blocks down to a slimeblock. its very fun having to fine adjust falling on 1 single slimeblock and there are many instances on that course like that. so I set MaxFallTicks to 200 in the settings. however this is a bit too much for normal parkour courses, player needs to fall for very long time to respawn to last checkpoint.