The “thank you for your recent communication” will have been because it’s a standard template letter – they’re likely referring to whoever informed them of your Dad’s passing and supplied them with a copy of the death cert.
Pension companies can find out about a pension holders death in multiple ways (and likely lead to the same standard letter being issued). Bereavement cases can in some cases unfortunately drag on for quite a long time while trustees, scheme administrators, pension co etc pass information between themselves, ask for more info from family / beneficiaries etc to determine who receives remaining benefits. Usually they’ll follow what’s on the beneficiary nomination / expression of wishes form but not always as they could have been written years ago.