Something was clearly missing! I have been digging the files again, how could I have missed it?? It just wasn’t there!
Whenever Dave died, he did it in style: at the center of the screen appeared a very small animation, showing Dave slashed, slimed, beat, chopped or killed in some form or another. Each such animation sequence is 5 frames long, with a delay of ~500ms between them. The reason why I couldn’t find these graphics easily, was because they have no data file of their own. Data has been embedded inside the executable, for an obvious reason: the .exe file is actually compressed with PKLITE (LZ91 signature). This compression is much stronger than the Huffman compression used for backgrounds, and since these graphics are required for each and every level, I guess it makes sense that they were placed inside the executable.
I call this one “the-death-of-dave”:

haha awesome stuff dude! keep it up!
will you be doing more recent games in the future?
can’t wait to see your dissection of crystalis
.. if you ever do it