The killer didn't want to be rescued, truly stone-cold.
And this is why people are confused.
When the cop was leaving him, he could have said "you'll regret it the rest of your life, because i know where your daughter is".
He didn't say even say anything when his head was getting sawed off, he was just happy to die knowing the cops daughter will die, and the other guy will never find his daughters head.
Not a coward, as the torturers suggested, instead the killer was an absolutely fearless sadistic psychopath.