Its Part Of The Experience

Hue has never understood the concept of death, or life in that matter
He doesn't like to dwell on the subject, brings up thoughts of his past life and fears of his new.
Hue does have a weird habit of bringing any dead animals he finds in the woods to his brother in hopes that he can somehow fix them. He knows he can't but it's worth trying. Hue views Fin as an all knowing and untouchable being but the more Fin explains the concept of death to him the more terrified he gets. He doesn't yet know that he won't ever die and Fin will.