Death is a favorite theme for poetry. Yep, there's nothing like mortality to help a person sort out what is important in life. However, McKay's "If We Must Die" goes beyond Emily Dickinson's fantasies about death or the musings of Romantic poets like Coleridge and Keats. We get the idea that the speaker of "If We Must Die" isn't thinking about death in the theoretical sense, he's actually facing it. It's not a question of whether he will die or what will happen when he dies, it about how he will meet death. The speaker talks of death like a Greek hero would; death is an opportunity to show strength, nobility, and purpose.
The victims do have a choice of whether or not they die well according to a very specific image of what it means to be masculine. Death is very real, but the immortality that the speaker describes is fictional.