I once saw a small parrot die in the vet tech's hands during a nail trim. The bird was being held gently and in the way we always did, and the bird just died. The vet told the owners that it sometimes happens, they just die of fright. Luckily, none of our parrots have had that happen.
I believe they do have emotions and especially towards each other. They grieve and mourn too. If something was happening to Lacy and the other SLW was right there, she was probably trying to figure out what was wrong.
I am so sorry for your loss. I have not lost one of my girls yet and dread the day it happens...and it will.