And like most victims of abuse who become abusers, he imitated his abusers' patterns, playing the same kind of mind games -- giving both Bruce and Gotham a sliver of hope before destroying them both. True, if you think about it, it does fall afoul of the standard "Why don't you just shoot him?" problem, but at least there was a character-based reason for his folly, and that makes it somewhat more acceptable.
Torture makes more sense than just shooting your enemy. If you're suffering, you want to prolong their suffering and you can't do that if you just snuff them out.