These are from WW1. I don't know what all info you may want so I added to the list that you'd already compiled information about their deaths.
Prince Heinrich of Bavaria - KIA Monte Sule, Transylvania 8 Nov. 1916
Prince Friedrich Wilhelm of Hesse - d. of wounds received in action near Kara (Kurm) Orman, Dobroudja, Roumania 12/13 Sept. 1916
Prince Maximilian of Hesse- d. of wounds received in action at Saint-Jean-Chappelle, near Bailleul, France 13 Oct. 1914
Prince Umberto of Savoy, Count of Salemi KIA Crespano del Grapfen 19 Oct. 1918
Prince Heinrich of Liechtenstein - d. of wounds received in action at Warsaw 16 Aug. 1915 (served in Austrian Army)
prince Ernst of Lippe- KIA Villiers-les-Guise, near St-Quentin, France 28 Aug. 1914
Prince Friedrich Wilhelm of Lippe kia Liege, Belgium 6 Aug. 1914 (**oldest royal killed, age 56 and also first to be killed )
Prince Friedrich Karl of Prussia KIA St-Bouvray, near Rouen, France 6 April 1917
Prince Heinrich XLI Reuss - KIA Bivolita, Roumania 29 Nov. 1916
Prince Heinrich XLIV Reuss- d. of wounds received in action at Laon at Glochau 29 Oct. 1918 (**making him last to die in the war)
Prince Heinrich XLVI Reuss(brother of above) - KIA (at the battle of) La Bassée, Belgium 20 Oct. 1914
(**these 2 as well as the Hesse boys were the 2 sets of brothers killed, the Reuss lines confuse me in general)
Prince Heinrich XXXVIII Reuss-- KIA Ligny, near Brabant-sur-Meuse, Belgium 22 Mar. 1918
Prince Oleg Constantinovitch - d. of wounds received in action (while in a cavalry charge against
the Germans) at Vilna 12 Oct.1914 (***he was the only royal on the Allied side to die during WW1 according the Prince David Chavchavadze)
Prince Ernst of Saxe-Meiningen - KIA Maubeuge, Nord, France 27 Aug. 1914
Prince Friedrich of Saxe-Meiningen (**father of above)- kia Tarcienne, near Charleroi, Belgium 23 Aug. 1914 (so they died within days of each other

as well as being only father/son duo to be killed)
Prince Albert of Saxe-Weimar-Eisenach - KIA Gouzeaucourt, Nord, France 9 Sept. 1918
Prince Wolrad Friedrich of Waldeck and Pyrmont ( son of Georg Viktor, Fürst zu Waldeck und Pyrmont and Princess Luise of Schleswig-Holstein-Sonderburg-Glucksburg so I'm not sure if he was nephew to Duchess of Albany & Queen Emma of Netherlands or also of Dona, I'll have to check that out further)- KIA Moorslede, Belgium 17 Oct. 1914