I am sorry to hear about your grandchild. This must be very worrying to you. And it is indeed worrying for a 6 year old to say that he wants to die. It is possible that the child has been emotionally traumatized by a certain situation and/or he could be depressed. I am just wondering how his mum feels about his threats. Does she take them seriously?If she agreed with you, then the best place to take him would be CAMHS which is the Children and Adolescent Mental Health Services. A GP could easily make the referral and urgently if he spoke to his mum. Unfortunately, as you know yourselves you could not take a similar action as you have no parental rights. However, if you feel that your daughter cannot cope with these difficulties, I would definitely suggest that you rang your local social services and explain the situation in details. They would have to visit your daughter for an assessment as they are obligated to investigate into the matter and protect the child. If they were involved then they could involve the mother in therapy and the child referred to CAMHS and support the family through monitoring and helping them access the relevant services.
I can imagine that calling social services would not be the easier thing for you but if you feel concerned then that would be the best move for you. They have a very supportive role and they do everything in their power to keep the child within the family safe and well.
I hope that helps.
All the best