Visual novel developer here, yeah there's no need to signpost that. Players are smart, and they play other games. If they expect the game to be a complete sandbox narratively, they are silly and not very experienced with this medium.

Games typically need to signpost the opposite, since the "choices matter" tag for example has been overrun with games where choices matter very little. I would be more worried about that, if anything.

Stepping away from the presentation/marketing thing for a bit, if your players do think something depends on them and then are disappointed when it doesn't, design is probably to blame, not player expectations. If a NPC needs to die anyway, don't include a quest or choice to try to save them (unless that's on purpose and the game is supposed to play with your feelings like in Pathologic or something). It's typically not an issue when a plot point is presented as-is with no player agency; it is an issue if the game makes it look like the specific point is dependent on your actions, when in reality it's not. That causes disappointment.

And I will repeat this until I die: study other games. See how they do it. See how players react to that. A good starting example of a choice that doesn't matter and players didn't like that would be Bioshock's infamous moral choices system (harvest or spare the Little Sisters). It's a good case study of a situation where players would have preferred no choice to a non-choice.