Does sedum spurium die off each year? If not, does it keep its leaves all year round?

It's a semi-evergreen so will lose a few leaves and should hang around in winter

No, it does not die in the winter, though it may look as if it has. There are so many varieties of Sedum spurium, it really depends which you have:some lose all their leaves, some are more susceptible to damage to their stems over the winter and some come through hardly affected. As I look at mine just now, some vrieties are bare stems with a layer of dead leaves fallen off, and other varieties have retained all their leaves.