Too bad I don't live on a beach with Anna

"They say it was suicide."
They say. That's the first part. They say. So Locke's supposed suicide could have been staged.
Why is he not on the island? Maybe because he had to come back to tell everyone they needed to all go back to the island. Together. And he knew he would be part of that, going back with them. So staging his death wasn't a big deal because he knew he'd be alive on the island.