Does Beatrice know about Return By Death?
It is because she is somewhat attracted to him (not in romantic means of course). Beatrice to some degree cares about him, otherwise, she would not agree to be in contract with him. That is why she said, "I you want to die, die at a place I cannot see. I don't want to have nightmare." Implicitly she is saying, "Don't let me see you die. I care about you, so if you die in front of me, I'll have nightmare about it."

That is why, rather than knowing about Return by Death, it is more like she cares about him and don't want him to die.