The bug

If something dies of fall damage on a hay bale, no special death message is produced, despite it being a block that modifies fall damage.

Since pointed dripstone, another block that modifies fall damage, does have its own death message, it may be expected for hay bales to also have such a message. See also MC-173484, MC-173485 and MC-219892.

How to fix

Make this use its own death message instead of the generic message.