Cayde and his ghost were shot dead. That much is clear, whether his ghost will make a return im quite doubtful of. But, at the end of the preview someone is carrying Cayde away, that someone I firmly believe is the Exo Stranger -AKA Elsie Bray- (the cloak and boots match perfectly, and it ties into caydes connections to Braytech in the past) her knowledge of the exos is unparalleled, she will most likely repair cayde and hell likely have to be rebooted. Putting money on it.