When the game spawns a merchant, it checks for possible paths to your depot as of that instant. Your merchants will spawn at a map edge that somehow allows a path to your depot (packbeast merchants will still spawn with a complaint if there's no possible path to the depot).
Merchants want to take the shortest possible path to your depot.
The image you posted shows that from where you mark the caravans as coming from, they can go a longer path across that safe bridge, or, IF the water happened to have been shallow enough at that waterfall as of the moment they spawned, they could take the shorter route across that shallow water by the waterfall into your fortress where I assume your depot is.
Merchants will never choose to take a longer path.
They do get a saving throw - if their chosen path becomes blocked (waterfalls randomly have different quantities of water, and will randomly not offer a path anymore) then they will choose another. Unfortunately, they only recheck pathing occasionally, but that may have saved some of your merchants. The ones that died there attempted to path through the water and its varying depth and constant flow carried them over the fall.
To fix this, ensure that there are only 100% safe paths to your depot. Some players make an 'airlock' or a 'hidden merchant path' with raising bridges to block off the depot from the rest of the map (including most of the fortress) and allow only a very small pathing area to that place, so that merchants are forced to spawn in a very controlled place to reach the depot - once there, bridges are lowered to allow the dwarves to reach the depot for trading.
As to the diplomat, I don't know if a visiting vamp CAN feed, but I wouldn't want it to hang around just in case. Make sure your leader has free time so that meeting can happen and be concluded quick quick, to be on the safe side. In any case, vamps are only dangerous to currently unconscious dwarves... be prepared to seal off the bedroom part of the fortress if needed to block the vamp.