Trivia: When Elton and Ursula come back after their "storming out" because Ursula forgot her phone, if you look closely, the headline on the newspaper Victor is reading says "Saxon leads in polls" - a sneaky reference to the villain of the next season, Harold Saxon... Better known as the Master.
Trivia: Elton's line of "We've even got a bit of a love life" was controversially received as his lover Ursula was a head stuck in a paving slab, and the only kind of sex life they could have was oral sex. Russell T. Davies defended this, saying it was a harmless joke that children would not understand.
Chosen answer: The Master knows that deep down, he deserves death for the crimes that he's committed throughout his life, and since he regards The Doctor as his arch-foe, he expects it to be at his hands. The fact that The Doctor is still willing to forgive him for all of his crimes hurts him more deeply than death would.
Captain Defenestrator