I would say no, and here is my reasoning:
The Death Realm is supposed to be a maddening labyrinth.
A maddening labyrinth has to have no means of escape, or a means that is incredibly difficult to attain.
Death could be considered an escape, if you've been wandering around in there for an extended period of time and have no other option.
Thus, if you have the option to permanently die in said Labyrinth, I should think it would take away from the overall feel of total hopelessness. Suicide by (as in Miomai's story, confessions of a Clamod,) tossing oneself off a cliff repeatedly would be especially maddening if you get to feel the pain, but not the release of being dead.
Just some thoughts.