Yes, if they look unhealthy in any way, they didn't make it and are best removed asap.

In a professional set-up, it is common practice to go through the pots of cuttings one by one and remove dead cuttings and fallen leaves. We did this once a week.

But don't confuse a cutting dropping leaves with its dying. They often do that. If the stem is dried up, though, it's a goner.