They are all correct, but are not how they would all be commonly phrased mainly because of the use of during. There are many ways these statements could be said, but below is how I as a native speaker would feel most natural saying these phrases.
1) 'The shoplifter died during detention by police' would be better phrased as 'The shoplifter died while in police detention.'
2) 'The shoplifter died during restraint by police' would be better phrased as 'The shoplifter died while being restrained by the police.
3) 'The shoplifter died during police custody' would be better phrased 'The shoplifter died while in police custody.'
Hope this helps!