I remember that very well, and have even tried looking for it on
archive.org as a longshot (they have lots of old safety films). I was
unsuccessful.
It was definitely filmed in Winnipeg around 1950 or so. I remember
seeing it in school, along with the Red River Flood film "City in
Siege." http://www.nfb.ca/collection/films/fiche/?id=11412
They were kind of similar in their dark, serious, sombre, high-contrast
black and white tone.

But yeah, the kids died walking home from school in the winter, one by
one. One by bumpershining, one by falling through the ice, one by
sliding down a snowbank in front of a car. I seem to remember it being
called "My Gang," but I could be mistaken.

I'd love to find a copy of it. I'll be sure to post here if I ever do.