You are right! People often say “what if the sun blew up” in the context of gravity speed vs. light speed thought experiments, but what they really mean is shorthand for what if the entire sun was somehow deleted in a single instant with no trace. But in reality, “blowing up” the sun is much different than “deleting” it and leaves its entire mass behind, just spread around more.
There is even a theorem in general relativity that proves that massenergy cannot be deleted, invalidating a whole swath of such thought experiments. Forgot what it’s called though.