Let's go further out, to the next closest star to us,
Proxima Centauri. That's so far away that it takes light four years to get here (it's four 'light years' away). It's not likely to do so, but if it popped out of existence, exploded or turned into a giant frog right now, we wouldn't know anything about it for another four years.
Now think about all the other stars up there- most of them are much, much further away: hundreds, thousands, millions and billions of light years away. If a star is a million light years away, and it died a million years ago, we'll see it die now. If another star died four million years ago, but is a hundred million light years away, we'll still be able to see it for another 96 million years.
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