Yeah, if you die while in possession of a legendary pelt, it's automatically transferred to the trapper. You just don't get the payout that you'd get from selling it to him.
I would accept them more if I knew why. I would like to find an active posse actually, so welcome the opportunity. Or would more gladly assist with missions etc. I don't want to be Johnny Wingnut's backup after they tried griefing the wrong person though.