Other mistake: The security guards shoot away the lock on the door, which they then kick down with no real effort. But the door would still be held in place by the hinges - they don't kick it with enough force to rip the hinges out, and even if they had, we can see that there's no damage on the hinge side of the door anyway to demonstrate their forcible removal. (00:24:20)
Other mistake: When the Doctor and Donna get onto the roof, after he sonics the door shut behind them, as they run for the crane for the window washing cart he puts his sonic screwdriver in his mouth, holding it between his teeth, and pulls something out of his pocket. It looks like he might be carrying Miss Foster's sonic pen - except that at this point in the episode, it hasn't yet been revealed. (00:24:20)
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 after everything the Master's put him through hurts him more deeply than death would.
Captain Defenestrator