Interesting question. The only instance of a fae creature being beaten in the mortal realm that I can think of offhand is Murphy and Dresden vs the Chlorofiend, but as that was basically a construct creature I'm not sure whether that would count anyway.
I'd suggest that this falls under the GM Fiat, and so long as you can justify it leaving a body, or not, go ahead. The only exception to this would be that I'd say Changlings should always leave a body. Until they choose whether or not to embrace their Fae parentage they have 1 foot firmly stuck in the mortal realm.
For a Malk, I dunno. You could have it leave a corpse and have the authorities embrace "Sunnydale Syndrome" and declare it an escaped zoo animal. Or have it dissolve into the shadows with the rising sun (I think they're creatures of shadow and darkness aren't they?).