Continuity mistake: Missy's cameo brooch is unpinned and hanging askew when she vaporizes Osgood, but the brooch rights itself and is pinned properly when Missy steps on Osgood's eyeglasses. (00:23:00)
Continuity mistake: When Missy orders her Cybermen to blow up the plane and kill some Belgians, her control bracelet is missing from her wrist in one shot. (00:33:54)
Revealing mistake: During the sequence where the Cyber-clouds covering Earth are burned away, there is a shot showing the clouds burning over the Sydney Opera House. The shot is, very obviously, a still image to which CGI of the burning sky has been added, with extremely unconvincing results. (00:47:37)
Visible crew/equipment: Just after Missy treads on Osgood's glasses after killing her, you can see a boom mike shadow on the wall.
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