We scream "please don't" because of about half a book's worth of endearments, and making the character like somebody we would like in our own life, or at least in our life if WE were a character in this book (like the protagonist, or somebody else we identify with).
There are some "automatic" endearments for most readers; particularly children. Because they are presumed loved, innocent, weak, less comprehending, and with a whole life ahead of them so they lose so much more: first romances, accomplishments, marriage and/or children, and so on.
Beyond the automatic, what endears us to characters? Humor, bravery, daring, altruism, cleverness (not necessarily brilliance, which can be off-putting or even villianous), and most importantly that they are loved by the main character with whom we identify. By "loved" I mean all forms of it: Parental (and parent-like for grandparents, aunts, uncles, teachers), non-romantic friendly love (with sub-categories of sibling, peer, mentor, mentee, student, teacher, favorite co-worker or teammate), romantic sexualized love (consummated or not, e.g. a spouse, a sexual partner, or a love interest that has not yet progressed to sex, or perhaps sexual congress is terminated (a divorce or illness or frailty prevents it, but the MC is still in love)).
We scream "please don't!" when the loss of the character is a huge loss to another main character we identify with; or if the reader imagines themselves as a friend of the dying character in their world, and loves that character in some fashion.
But that loss has to be built up in the book. The death scene itself can be a few lines: Our beloved character's last words can be "I'm hit." and then he falls down. Or nothing: Many people IRL die without ever realizing they are about to die, they get no last words or gestures, and hear nothing that anybody says to them.
Don't try to write a "death scene." Write a regular scene in which the character dies, and portray as accurately as you can the emotions and actions of those around them, and with them, especially anybody that loved them. Most often, due to human nature, this is NOT instant grief, but shock and denial. Or anger if the death can be blamed on somebody else. Follow the seven stages of grief, it takes TIME for people to realize that death is really death and permanent, and TIME for all the ramifications of not having this person around to come to light in their mind. We cry, both for the loss to the world of a positive force, and the loss to ourselves, including the loss of all future opportunity to share life with the one lost, to vicariously enjoy their successes and joys, to have new adventures and experiences with our friend or our love.
That is real life, and fiction needs to emulate that: If you want us to love and mourn the character death, give us a lot of good reasons to do that, spread out over a hundred or two hundred pages. (You can't do it all in one lump right before you kill them.)