The allays don't react to waterfalls or other flows of water, and fly directly to them, getting stuck and drowned. This is the second allay I lose because of this, now my third - and last - allay has to be tied with a lead so it doesn't get killed. I don't think that's the way they were intended to work.
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We're tracking this issue in MCPE-153072, so this ticket is being resolved and linked as a duplicate.
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