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They had the guts to add Splinter's death to the storyline and have that be a permanent thing. It's only in the comic books and fan works that Splinter passes on because of old age or other means.
I wouldn't call the other deaths fake outs, but more preparation for the inevitable.
The first time Splinter was killed off, the other Turtles and Company were forced to assume the worst since they needed to get out of the city and Leo was in a hybernative coma and needed to get somewhere he could recover. It was only months later that they learn Splinter is in fact still alive, just driven mad because of his injuries and the months of having no idea of where his sons were let alone if they were still alive.
Death two was an actual death, but the Turtles went back in time and retconed that from taking place. So if they have any memory of Splinter dying at all it is like a residual memory left over from the change in timeline.
Finally Death three, Splinter has that vision where he dies. He tells his sons what he saw but not full details because he doesn't want to worry them or make them dead set on preventing what was to happen. So the Turtles likely assume that the Fall in the undercity was the vision and that it didn't come to pass like it was supposed to. This lets the Turtles collective guard down as far as their teachers coming demise.
In the meantime Splinter is preparing them for the fact he will no longer be in their lives very soon, including passing them to Jonin Rank since he wouldn't have time to officially assess that they were truly ready to reach the final level.
And confirming Splinter is gone for good by having a moment where the Turtles and family are able to say good bye to him.
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