What you request is already supported. Go to the settings section of your family site, and visit the Calendar settings page. Switch to Advanced mode (in right-hand side of the page). There you can configure whether to have death anniversaries in your calendar; and whether to have birthday and anniversary events or not.
The settings on my calender section is as you have mentioned. However, it still shows the b'day of the deceased on the right where the "upcoming events" section is. I think it should instead show the death anniversary of that particular person.