No. He's not dead. Marilyn Manson did however collapse during "The Beautiful People" and never came back.

Not only that, but when he goes down, during the first chorus, no one does anything about it! The band keeps playing until the song is done. No one comes out to get him, either. I'm assuming he crawled his way off stage, but its hard to see. Its just good to know that even if the main man drops on stage, possibly being eaten alive from the inside out by aliens, the band will finish the show!