I'm really sorry to hear that Amber has died. She was a lovely, friendly dog with an expressive face, ears and little stub of a tail. She has been around since I first met Miriam and Anne was well.
I like the way you're talking about death with the girls. Don't worry about 'cold reality' - the truth is that we don't know what happens to any of us after we die. We don't know if there is an 'after' or not. There's some evidence for and some against as far as I can see. It's a mystery. Therefore, trying to imagine what might happen, and hoping for something good is a reasonable human response. We always want to imagine what comes next and death is no different.
And you're right too, in that the physical facts of death and 'she's never coming back' are hard enough to bear without the thought that the one we love is extinguished - for adults as well as kids.