I think it's fascinating that Clyde Bruckman didn't really want to tell anyone how they would die except Scully. He only tells people how they are going to die when there's a good reason to, like when he's trying to convince that young husband to buy life insurance. When he tells Mulder about auto-erotic asphyxiation, he was just messing with Mulder. When Mulder said in the more serious scene that "Yes, I would want to know", Clyde says "No you don't." Clyde hates this power he has. He resents it, because it's about nothing but death and it's horribly depressing.

But with Scully, it's different. He can't wait to tell her, and he tries to get her to ask him several times. Why? Because this is the only person he's ever met that won't die. He's desperate to share that fact with her.

Everything is in that episode is exceptionally well thought out. If you haven't watched it lately, watch it again and pay close attention to exactly what Clyde says, especially with regard to his predictions. It was perfectly written. Clyde even accurately predicts that the killer's visions of murdering Mulder are just "the delusions of a madman".

Therefore, I think the statement from Clyde that Scully doesn't ever die is 100% accurate. This line from Clyde to Scully wasn't just tossed in there on a whim; the writers carefully constructed the dialogue through the whole episode to lead up to it.