If an employee dies, must a payment in lieu of accrued annual leave be made to their estate?

Yes. Accrued holiday entitlement is payable in the event of the death of an employee (as confirmed by the European Court of Justice in Bollacke v K+K Klaas and Kock BV & Co KG Case C-118/13 ECJ).

The final payment owed to the deceased employee should be paid to their personal representative, usually the executor of the estate.