I can't get on board with killing one of the characters, even if it could be done "well." The narrative would be saturated by that event alone such that the rest of the story would risk being suffocated by a character meeting a dramatic end. How could it not be? If Rainbow Dash died defending/saving her friends, then the only thing most viewers would talk about is that instance. I don't think it would be fair to the potential story as a whole. Furthermore, I think a dramatic effect can still be achieved by having a near death event which results in an eventual happy ending. But MLP doesn't lend itself to making death anything but tragic; Equestria is relatively free of strife and conflict, so somepony dying would be a shock to all the characters in a profound fashion. The finale could then only be described as either tragic or, at best, a pyrrhic victory for the main characters. It's like letting the villain win at the end of a Disney film.
One can craft a mature narrative without making it instantly dark and/or grimdark. I would venture to say the season two finale was mature inasmuch as it knowingly disrupted several tried and true formulas established within the show (e.g., the Elements of Harmony defeats the villain). There was also the introduction of yet another vile and uncanny foe (Chrysalis; Discord being the other) for the ponies to battle. We were also given a fairly serious fight scene involving the main characters. But none of these events disrupted the formula so much that viewers would sit back and wonder if they were still watching MLP. Let us not forget, furthermore, that a significant element of show's charm is its innocence retained in the midst of greater self-awareness as more than a show for little girls. I don't think that can be jettisoned without jumping the shark wholesale.
If and when there is a series finale, I am of the opinion that everypony should be relatively fine at the end---although I would consider a Lion Kingesque event where perhaps one of the royal sisters may pass away, providing deep emotional investment for the story. In the style of Calvin&Hobbes's final comic, the journey should remain fairly open-ended. Undoubtedly My Little Pony: Friendship Is Magic will live on in the fandom after it goes off the air, so a small yet meaningful nod from the writers to the fandom signifying that the journey into friendship continues would be the most impactful; and I happen to think it would subvert the "and they all lived happily ever after" trope just enough to retain the independent spirit of the show.