The chapter itself doesn't mention death at all though....I'm afraid this seems very indirect to me.

Education frequently is indirect. If you want direct statements, you wouldn't be reading MoR, you'd be... well, here, reading LW articles and stuff. Not everything is directly relevant, of course; for example, we could view Harry negotiating with the Sorting Hat as isomorphic to negotiating with an Omega in various precommitment scenarios devised for discussing the advanced decision theories like UDT/TDT. Is this directly relevant to arguing against theism and deathism and pro-agism? Not that I can think of.

The question was, 'how does this relate to the thesis that death is bad'? I mean, if we think death is bad, then in some sense we could take any good epistemic principle as relating to that thesis, insofar as good epistemic principles relate to true beliefs. Is this as direct as we can get?

Is that such a bad thing? If good epistemic principles don't lead to true beliefs, then that would make MoR more propaganda than anything...