Losing the puppy does not have far fetched consequences for the rest of the game.
Losing Khelavaster before talking to him means he won't be able to instruct the PC in what has to be done regarding the orbs, if the PC doesn't already know.
As far as I know, Khelly is the only one to explain the situation with orbs, bar a few poems by the minstrel.
I think this is a good idea to make Khelly more resistant to accidental deaths.
Khelly doesn't give any great rewards after talking too him and letting him die, only when he's saved does the player receive the real rewards.
You need an aols already to do that which is why I think that "shit happens" rule should not apply here.
He is clearly a lawful being and the chaos servants around him are chaotic yet they don't attack/kill him because he's meant to be found alive by the player and spoken to.
Making him immune to vortices is the right choice and has no drawbacks, either story-wise or gameplay-wise.