When you defeat him, he continues to defy logic by bursting into flames, despite being made entirely of bones and the fact that you've only been whipping him, not dousing him with gasoline.
This is why you always employ a safety word during S&M sessions.
From the Nazis' standpoint, they'd probably prefer to get their hands on more fake grails instead of the real one. Sure, immortality is great for the Fuhrer and his dog, but turning all of your foot soldiers into an army of intimidating skeleton monsters is going to be more useful in wartime. One bitchin' grail kegger later, and boom: The Allies are trying to beach in Normandy under a blitzkrieg of magical skull attacks.
"The only thing we have to fear is ... this, actually. Shit."