Technically Minfilia died in Shadowbringers, but she had been out of the story for years before that happened so it was as if she had died earlier.
Technically Hydaelyn did too, but they had been quiet and barely in the story for years as well.
We could argue that no scion or traveling companion we knew long-term ever died except Minfilia and Hydaelyn though. Louisoix was just a grandad NPC you talked to in 1.0, the scions that got shot by livia were extras, Moenbryda was there for a patch or two then died, Haurchefant and Lady Iceheart were there for some patches and some of Heavensward then died, Papalymo barely had character development like every other character got in Heavensward and was absent except in ARR anyway, every villain after that also died in their respective expansions (other than Zenos who got to do that twice).
Death isn't the end all or be all of stories though. I feel that there should be other ways for them to exit the story as well, such as retirement (like Gosetsu) or injury like Arenvald. It should really just make sense.
They didn't die in Ultima Thule because that wasn't the point of the story. They wanted us to worry they might be dying to make us feel despair and depressed at the idea they might die. They hinted at a light at the end of the tunnel half way through when Y'shtola said they could be resurrected with the crystal, because you had progressed quite far and were starting to see hope of getting through this place. They finally resurrected them all at the end to make you feel the hope that they now wanted you to feel in this land of despair. They used them as a way to manipulate your emotions to align with how your character was meant to be feeling in a land of despair, but of course it will affect people differently depending on their level of attachment to them.
But I don't think they need to die now, either. They could just retire some of them or make us part ways with them as we get sucked into another shard without them.