There's no reason to assume that she has to die and Anakin has to kill her.
This reminds me of the talk of Jar Jar's fate when Episode I came out, or what happened to Naboo. Just because we don't hear about it in the OT doesn't mean it has to be destroyed in between (Shadows of the Empire is about the only series that seems to have done that, but I hear they resurrected many of those characters too, even though they created and then killed them off in one book). Creating new characters like this, does raise questions, but we've seen already that it need not be answered and it gives them more opportunities to write stories.
Let's recall that in the EU, tons of characters vanish, only to re-appear later. Remember even before the Prequels were made, they had tons of "lost Jedi of the week" showing up. The Prequel EU has continued this tradition (silly and contrived as it is). When it comes down to it, Star Wars has become, rather than a galactic saga, a rather small story, about a dozen people, basically on two planets.
We might say "ah, but Ahsoka must be a Padawan for ten years and she can only be with Anakin a maximum of 3 before she would 'disappear' in Episode III." However we don't know how long she's been a "Padawan" prior to being assigned to Anakin, do we? It's not as if it's ever been established that someone can't serve more than one Master in their lifetime.
So she might "graduate" and we just never see her again (until somebody writes another EU story about her either surviving until the time of the OT, or being killed somehow in the meantime).
There's no guarantee that they'll "have" to kill her off in Order 66. Not that I have any attachment to the character (I don't), just saying.
As for Star Wars continuity or consistency, there never really has been any. Sure, it's not as bad as Highlander continuity, but it's pretty bad. It has been there since day one, when Star Wars was created to be a stand alone movie (remember, when Lucas wasn't sure he could make any sequels, and the only plans were for two novels which were different than what we got with ESB and ROTJ?). Star Wars has always contradicted itself, created loose ends and other problems. Now I'm all for consistency, but considering no story or characters have really been improved by their consistency (or lack of consistency) I think it's not really an issue.
I've said it before, but Star Wars has become more like King Arthur, where they just tell more stories with the same basic characters and concepts, not that they all fit together perfectly into one story. Even the original movies have that problem, like I said. You could reboot the EU for all I care, and nothing would change.
Bottom line: The CGI "Clone Wars" series (starting with the theatrical movie) is "T-Canon," in a class all by itself. Something similar to Episode II is assumed to have happened, but that's about it.