I saw no one did this, so I figured this was my chance, and also I kinda feel bad for the people who want to have Steve compatibility with their character(s), but don't know how.
Well you, my friend, came to the right place.

It's easy as 1-2-3, just put this anywhere in init.gml:

steve_death_message = "Your text here";

And yes, the "Your text here." is just a placeholder. You can make it say whatever you like. But I personally recommend an actual Minecraft death like message. For example, "Steve was knocked out." or "Steve was blasted to mars.", you know, because it kinda makes sense, but I guess you can do whatever you want. It's your character, so I really don't care what YOU do.

If I'm not mistaken, you can only have one death message, so think wisely on what you REALLY want your death message to say.

And that's it, just make sure you test it in-game to make sure it works. I hope this discussion helped a lot.