It’s not even just sunk cost by what happened on earth.
He is a Viltrumite warrior who is likely thousands of years old already. He probably has killed countless people and helped the Viltrumite empire conquer many worlds before. He was put into his current position as a position of honor, something I doubt they would do for someone who hasn’t already proven themselves many times. This is why it was so unthinkable that he would betray his people - this is someone who they already had every reason to trust.
Someone like him who not only has killed thousands of people on earth, but maybe millions of people or more elsewhere, isn’t going to easily be swayed in their beliefs. Even if they are able to be swayed, the difficulty would be immense because they would have to admit that they committed unspeakably evil acts for no real reason at all.
They’re resilient, but more to some things than to others. Having their guts ripped out or being impaled or so on doesn’t seem to be immediately fatal to them, but if their heart or brain are destroyed or the like they won’t be able to do much. Since they still need oxygen to live (though can hold their breath for a long time), it’s very possible that choking on her own blood would kill her brain before backup showed up.