She was just an interesting character, period. I loved how she was actually quite menacing, considering she ate the previous knights who visited her, and was the reason for Maplhas' attempted suicide, considering she ate her lover. And if I remember right, only helped Gabriel because "the king of angels" told her he would come. So She had him get her rose and then sent him on his way.
That was another thing I loved. the backstory between Baba Yaga and Malphas. That was neat.
More than Her death though, I was more upset at how it was just done quickly offscreen, explained away in one of Zobek's narrations.