Ok, so couple things as I perused some of Lucifer again.
I didn't actually find anything to directly support this.
The only thing that was said (that I found), was Michael warning Sandalphon about what would happen if he were to die in his captivity: http://i1202.photobucket.com/albums...ael_Torture.jpg
"Sandalphon, spare me the moral. You know what I am, and what I contain. By torturing me, you put the whole of creation at terrible risk."
As for Lucifer and his ability to die, here's a more complete picture of what you posted some scans of. Some of it supports the idea that perhaps Lucifer could die, and some of it casts more doubt.
Recap: The Basanos (Plot-device incarnate) nearly kill Lucifer by burning him up. His wings (the source of his power) are almost entirely burned. The remaining two unburned fall out.
Evidence for death being possible http://i1202.photobucket.com/albums...ciferDeath1.jpg
Elaine: "Will he die? I don't think I could bear it if he died"
Meleos: "He is made of will, as your father Michael is made of power. He might survive in spite of everything. I have been doing what little I could to mend him. Because if he dies, something terrible is going to happen."
http://i1202.photobucket.com/albums...uciferdeath.jpg
God: "Did I not tell you that your brother Lucifer was given over to destruction? That if only Heaven held its hand, he would surely die, and all his works come to naught?"
(Michael started a chain of events that caused Elaine to save Lucifer)
Evidence against death being possible http://i1202.photobucket.com/albums...cifer_Flame.jpg
Elaine: "You're not going to answer my question, are you" (will he die?)
Meleos: "Where the flame goes, wood turns to charcoal, water to steam, flesh into ash. But he is not flesh, and you are not flesh."
http://i1202.photobucket.com/albums...rstCreation.jpg
Meleos: "When God made the world, the first thing he created was the host of heaven, beginning with your father, Michael -- and Lucifer." "For everything else that was made, they were his intermediaries" For everything else that was made, they were his intermediaries http://i1202.photobucket.com/albums...er_Creation.jpg
Death: "You and Michael were his first big ideas. You came out pretty much undiluted"
Would those two statements not mean that it was Lucifer and Michael that created abstracts such as the Endless? It's a grey area for sure.
Through all of this though, Lucifer was powerless. Perhaps that is the only reason he could die http://i1202.photobucket.com/albums...er_Feathers.jpg
Lucifer: "Meleos -- in my wings, there should have been two feathers untouched by the flame. Did you find them?"
If Lucifer recreated him with a gesture, that opens a whole new dimension to Lucifer's power. It becomes easily his greatest feat, and probably the second or third best in comics.
/shrug
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And on the first day, Doom spoke... 'Be.'
And then there was life."