It's hell. Eternal torture. He keeps loosing people that mattered to him and then at the end experience a painful dead. And after death it starts all over again. He can't avoid it. This is it. This is his hell.
Exactly. He's basically doomed to live eternally in the Hell that he created for himself. And Pinhead's ultimate "coup de grâce" was revealing it to him, once he finally unlocked the mystery behind what was happening to him. Imagine knowing that no matter what you did, you're eternally doomed to be horrifically haunted by all the things you did wrong and all the people you hurt in your life. Pretty powerful stuff, man.
"Aint you never been to the theatre before?" - Bill the Butcher
Couldn't he go and try do something else the 2nd round of Hell that he is going through? Unless he forgets Pinhead's coup de grace every interval, and yet is still reminded, or forgets the whole line of the events, only to go through it again. If not, I'm sure he'd get used to what is happening and get bored with it, after a million star's lifetime worth of years especially.
Or he'd grow to love it as the cenobites appear to have learned to love their pain. He'll eventually find the pain pleasurable.
Did you perhaps miss the ending of the movie? The detective suicides because he doesn't want to go through the ordeal again. When he tries to vary the routine after that event, he is taken into the old home where he found all of his demons in the prior scenes.
I think what the guy was trying to say is that after about a thousand times of the same torture, you'll either grow numb to it or find it pleasurable. Especially considering we can assume that he remembers everything each time he starts over again.