In a developer commentary video, Bungie goes into detail about the significance of Cayde’s death and explains the consequences that arise from it for the setting, the story, and for Destiny 2 in general.
Not just a shocker: Cayde’s death may seem to some like a shock moment placed at the beginning of Forsaken, but according to Bungie, that is absolutely not the intention. Much more, this tragic event is meant to enrich the world and the story of Destiny 2. Players are to see how other characters react to this death and the vacuum it leaves – and what develops from it.

Forsaken is about the personal: The motives and drive of the players are meant to be elevated to a personal level. Forsaken is intended to be a Western-style expansion where the aim is to take revenge, hunt down the bad guys – namely the eight barons – and bring their leader Uldren to justice. The narrative aims to give a dark and very personal touch. It’s no longer about saving the universe.
What the developers have to say about Cayde’s death and its effects on the game, and what influenced their design decisions, you can find out in the video.