Well I'd be concerned that this other child is telling my child that I'm dying.
I personally would not object to the child saying this (the kid's not a doctor and can hardly make an accurate diagnosis) it's just that she's saying it to my child and possibly other children instead of talking about her fears/experience with a trained professional.
The professional can certainly handle it and understand it and help the kid whereas the rest of the class may not appreciate comments that foretell of their parents impending doom.
I would talk to the teacher and to the mother and express that it seems this child is having a hard time coping with her mothers miscarriage (and possibly the mother's having a hard time coping with it too - I just don't think it's wise to dump things like this on 5 yr olds who can't possibly understand what was going on)).
Whether they get some counseling or not is up to them but the predicting of other parents deaths should be stopped/redirected and handled if it should come up at school again.