In this case, I think it's less to do with him protecting his 'toys' like Gillen did with Kid Loki, and more that they were created for a specific purpose, and that purpose has been fulfilled. They may have been created to die (and some of the other things they did before that) so that he would not be forced to kill off any more long standing characters than he had to in this fight with the Beyonders, which was necessary for the story to progress, but the characters facing them kinda had to die, given the situation. That he made us care about them beforehand is great, it means their death had more emotional impact.