A reason I see as to why they can't die right now is because it would re-trigger Rudy-depression mode.
And that would just be no fun to watch. (Season 2 part 1 concluded that part of his character development)

Zenith, perhaps, that will hit him (and me), but not destroy him , but it can't be Sylphie - no freaking way.
Roxy most likely neither.
Worst thing that could happen would be some time-travel fiasko "to get her back" and that never ends well in terms of storytelling.