From my tests: Sims don't get first loss if they are off lot/at rabbit hol/another lot when a known/close sim dies. I can duplicate it never showing the sim that was losed? lossed? idk what the word is in english but yeah. Both seem like bugs.
Sims should receive a "First Loss" and a "First Funeral" Milestone, but I've yet to see either one. Not in my Test game or my regular game.
All my test deaths were from being eaten by a CowPlant (easiest to manufacture without cheats in a vanilla game).
Deaths were all on home lots. Funerals were at the new Cemetery.
