Do they mourn in the human sense of the word? Probably not. As I said, they have enough brain matter to know that something is not right in their world. Consider for a moment - You are a creature that is lives in constant fear of predators. You don't know what predators are really, you just...
Yes, IMO they absolutely do mourn. All they know is that something is not right in their little world.
A little story, that I swear is true - My Lil'Bit, recently killed by a hawk, was my baby. She couldn't see well, so she learned early on to wait for my help to get on the roosts at night...