When Baron Nash or dies, do other friendly units lose the +2[M]?

Yes — the +2[M] ends the moment Baron Nashor leaves the board.

Baron Nashor's "Other friendly units have +2 [S]" is a passive static ability, not a Buff counter or a lasting effect, so it only applies while he's in play and any units affected immediately drop back to their printed/other-modified Might (Might is evaluated continuously — Rule 710). Only the Baron Pit battlefield token itself sticks around after he dies; the Might bonus and his "can't be chosen" ability do not (FAQ #11735/#11734 confirm the reverse direction: if Baron leaves, a unit drops back to 3 and stops being Mighty).

One thing to watch: damage already marked doesn't heal when the Might drops, so if a unit now has damage equal to or exceeding its reduced Might, it will die in the next cleanup (a Combat Cleanup or end of turn).