I remember being a child and pondering my parents' death from time to time. Being an intense child, I basically lived the emotions as I imagined the scenario. I didn't become scarred or anything, though. I think we protect ourselves from emotional trauma by avoiding thinking about things like that too much. I wouldn't worry about this unless it becomes clear that the child is fixating/obsessing on the idea of death.
ETA: We're also Catholic, so end of life discussion have an unavoidably positive, eternal theme to them for us. I didn't go into it at length because my DS is still too young, but I plan to use the death talk as a springboard for discussing free will and the behaviours required for eternal life in our faith. I think concrete, actionable steps within our control make the unknown less intimidating.
As a former Catholic myself, I'd counter that the unavoidable positive theme applies only to the one who dies, but not to those left behind. My experience with the Catholic faith and death involved the idea that there was an agency behind death, and the idea that someone/something had done this to my grandfather and to all of our family ON PURPOSE was, I believe, a big reason why I handled it so very, very badly.
Of course, it all comes down to interpretation, and this is how I interpreted what information I was receiving, so your mileage may vary.
