I fast traveled to the college and the bridge didn't load right away so me and Shadowmere started falling while I was on top of him. The fall killed him yet I survived somehow. He didn't get back up and is actually dead as I can loot his corpse. I tried waiting and even healing him but he is still dead. I though he was suppose to be one of the important npc's?

Nope, he's not essential. Just regens health really quickly. A big enough fall and he'll die.

Shadowmere isn't truly invincible, he just has absurd health and health regeneration.

However, Fall damage deals damage proportionate to health, so a long fall will kill anyone regardless of health. That's why unrelenting force shout off a cliff is pretty lethal, even to Giants.