Continuity mistake: When the Doctor is listing questions about what exactly the ghosts are, he goes from gesturing with his left hand in the close-up to gesturing with his right in the wide shot. (00:17:17)
Audio problem: Shortly after arriving at the Drum and taking shelter in the Faraday cage, when the Doctor is looking out the window in the door at the ghosts, he says "What are you?" His jaw doesn't move.
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