By default, Custom Remove Effects do not trigger when the states are removed by death. If you would like them to, save a plugin with the following code and put it above all Yanfly plugins in your plugin manager.
Code:
Game_BattlerBase.prototype.clearStates = function() {
for (let i=0; i<this._states.length; i++)
{
if (Imported.YEP_X_StateCategories && this.isCustomClearStates() && (($gameTemp._deathStateClear && $dataStates[this._states[i]].category.contains('BYPASS DEATH REMOVAL')) || ($gameTemp._recoverAllClear && $dataStates[this._states[i]].category.contains('BYPASS RECOVER ALL REMOVAL'))))
continue;
this.removeState(this._states[i]);
}
this._states = [];
this._stateTurns = {};
};