I recall before eternal bonds became a thing, going to the church-like temple in the Black Shroud was done to pay respects to a fellow player that passed away.

Actually, as a suggestion, ARR zones have the small enshrined stones in different locales as a means to pay respects to the respective diety. While not a gravesite, some of the locales may be a good spot to just sit and take a moment to quietly reflect.

Ralgr'd Reach has a tomb of graves, too, but it's not any less haphazard as Drybone as it's the soldiers just trying to give their friends proper funerary rights out of respect.

Unfortunately, since FFXIV doesn't refect any particular real world religion to an exact degree, making a proper area that's meant for us to pay respects to lost friends in the game is not possible. Different players have different ideas on what such a place should be.