"MikeCT" wrote
This is my first year growing a water lily (Nymphala pygmaea Helvola)
which has flowered well in my mini pond, but now the leaves are starting
to die out. Do water lily leaves die down in the autumn and winter?

Yes they do die in the winter back to the crown, and about this time of year
the oldest leaves start to die to be replaced with bright shiny new ones.
Perfectly normal, what isn't normal is one of ours that tries to grow leaves
and even flower during the slightest mild spell in the winter.

--
Regards
Bob H
17mls W. of London.UK