Continuity mistake: When the Doctor is talking to the Voice Interface Amelia, when he starts saying that "Scotland's never conquered anywhere, you know, not even a Shetland", his left arm, which was stretched out along the railing in the previous shot, is suddenly lowered. (00:27:28)
Revealing mistake: When River grabs a gun off one of the soldiers she just knocked out with regeneration energy, the actor sits up slightly, even though the soldier is supposed to be unconscious. (00:24:44)
Continuity mistake: When the Doctor is talking to the Amelia voice interface, in a shot of him from behind his position slumped against the railing is different from shots of him from the front. (00:27:37)
Revealing mistake: Mels is shot in the stomach by Hitler, leading to her regeneration. Rory, when checking the wound, says he's going to try and stop the bleeding. However, when she stands up while glowing with regeneration energy, and in every scene afterwards where Mels/River is wearing that dress, there is no bullet hole or bloodstain visible.
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