User blog comment:B214/Light Novel Volume 16 spoilers/@comment-74.110.105.73-20131018150452/@comment-1359322-20131019074124

The death flag could be that he's asking Issei to take care of Le Fay for him. These usually constitute to what people call a death flag in a story. BTW Death Flag isn't in one form only, it also comes in other forms.