Nope he didn't die he was reabsorbed back into the matrix to fulfill yet another cycle of insanity. COME ON Connel really! Shit man, I think I am the only one that actually watched the film.
The Burden of Choice was explained here perfectly this was a foreshadow of things to come.
Watch it slow it down, if you need to and turn it up if that helps EVERYTHING was pretty much explained in the scene, the entire movie, the only question after this point was to discover what was behind the choice that not even the matrix understood itself.