Death isn't used as an elemental in any FF game. It's more of a status effect, and there just happens to be a "Death" skill for the sole purpose of causing that status effect, and they can't just have every enemy suseptable to such a skill, so they make some immune. Except, of course, in FFVIII case, where all elementals and status effects have a percentage to work (0 will never work on them, 100 will work everytime, and anything in between is calculated randomly by the percentage given).

FFVII's elementals are: Fire, Ice, Bolt, Earth, Gravity, Poison, Water, Wind, and Holy. No Shadow.