I'm not so sure the last vision of him holding the woman was the exact moment he died, unless his heart gave out, or something. The timeline of those visions is a bit confusing, but I don't think they necessarily happened in the same exact order Guts sees them in.
A few things stand in the way of that interpretation. The first is the black eyes, which on its own could have simply been a way to demonstrate the end of the memory. But, added to Guts' words (my own translation): Just then, that was for sure 'the end.' And then SK's own words: What you saw was the end of the foolish king. The beginning of a dead man’s endless wandering of the night. It all adds up to what sounds a lot like Gaiseric's death in that scene, with his eyes closing while holding the branded woman.