At Ourroots,http://www.nosracines.cahttp://www.nosracines.cayou can search the book, "Sagitawah saga : the story of Whitecourt" and find a bit about Walter Caldwell on pages 37, 85, 146. I find no mention of the McMillan family.
Also search the book, "Three trails home : a history of Mayerthorpe and districts, Alberta, Canada". On page 390 is the story of the McMillan family of Greencourt. There is mention of Walter's brother, Bryce Caldwell on that page. As well, there is a Charlie Caldwell mentioned on page 302.
I see you have posted additional info under the Scotland area on this site. Perhaps you would add any additional particulars there, to the Alberta forum here, to make it easier for researchers.
Yes, there is a likelihood Walter, Mary and Malvina met an untimely end, possibly while travelling. Did they own a car? Did they travel into the Rockies, or down to Washington State, perhaps to visit Bryce and look for opportunities there?
Many Albertans eventually left for that State or British Columbia. I have had a look at the BC Archives' Vital Events and nothing leaps off the pages, though there are several female Caldwell deaths that have Mary as one of the given names.