These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
Averted. When The Coronation was published for the first time, many Russian readers really were convinced that Fandorin is Killed Off for Real. This was probably helped by the book's subtitle "Posledniy iz Romanov", which can be read both as broken Russian for "the last of Romanovs" (dropped by Mister Freyby about Tsar Nicholas II near the end of the book) and "the final novel".
But played straight in The Black City, which ends with Fandorin getting shot in the head.
Magnificent Bastard: Anwar Effendi in The Turkish Gambit. Marie Sanfon in Murder on the Leviathan.
Nightmare Fuel: Before the End of the World. Even Fandorin himself had nightmares after that event.