I dunno is that too much different than a kid latching on to a blanket or a teddy bear because it makes them feel safe?
Childhood is an awkward period, as they get older the pillow would become something sentimental to keep around. I get where your coming from, I just think if it helps the child cope its probably a good thing.
It'd be rough having your parent die, having something you can keep around to remind you of them I think would be something to be thankful for.
Also I don't know anything about psychology either.