EntityDeathEvent and EntityDamageEvent are not called when entity falls in the void, however, if you jump together with the entity into the void – the two events are called. It seems like spigot is just magically removing the entity below a certain y-level without calling any event when no player is nearby.

With the same setup on a PaperMC server, their event `com.destroystokyo.paper.event.entity.EntityRemoveFromWorldEvent` does fire when the entity is removed.