This short, written by Russell T. Davies, recently appeared on the Doctor Who Youtube channel:
It recounts the funeral of Sarah Jane Smith, with appearances by several characters (their actors evidently self-isolating at home IRL) from Doctor Who and The Sarah Jane Adventures. Of course I know Elisabeth Sladen passed away and so The Sarah Jane Adventures never continued, but as far as I know her character in the show never got even an off-screen death like the Brigadier: she simply didn't appear again in Doctor Who, and The Sarah Jane Adventures didn't continue.
Is this Youtube video the first time Sarah Jane's death has been confirmed in-universe, and the first time her character got any kind of "closure"? Canonicity in the Whoniverse is of course a huge can of worms, but I think we can count this as at least some level of canon, being written by RTD and starring many characters played by their original actors from the show. Obviously I don't count fanfiction written by random fans on the internet, but has there been anything before at any level of "canonicity" which tied up Sarah Jane's story at all?