Why Death knights need to breath but forsaken don't?

Not really. But so far, it has only been a racial trait of the Forsaken, and I suppose they haven’t bothered with the Death Knights.

Fun fact: Before WoD, Forsaken could simply hold their breath longer than others. It wasn’t infinite.

Perhaps. But so far we’ve only seen that they were created with the direct involvement of the Lich King.

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