Gloomhaven: Does it count as me landing the killing blow if a monster dies to my retaliate?
I would say yes based on the fact I have seen retaliate being a persistent bonus (rulebook p25).  In this case at least, using the retaliate actively takes something away from your character.

Contrarily, in the case of the wound, the status affect has already been applied and nothing is taken away from your character when it harms.

Tangentially, I also think the wound ruling is to prevent the complexity of trying to keep track of who did what wound (as far as I've seen not accounted for in the game; you'd need to either markup tokens, keep paper track, etc.).  Retaliate it's obvious since it's reactive.