Continuity mistake: At the beginning, Missy is using a knife to sharpen a stick to a point. Later in the scene, when she says to Clara that if they go rescue the Doctor, everything the Daleks can throw at them is between them and him, she lists only the stick among their assets. The knife is never seen or mentioned again after Missy was done with it. (00:04:18)
Continuity mistake: After Missy hooks Clara up to the Dalek armour, she takes her hands away from Clara's temples. However, in shots facing her for the next several shots until she stands up and backs away, her arms are still raised. (00:22:24)
Continuity mistake: Davros' chair has metal parts which go over his shoulders - they are attached to the chair, not Davros. When the Doctor steals Davros' chair they disappear, but when Davros is back in it they have reappeared.
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