: the Coup de grace is a MERCY blow.
: But I know what you mean, the blow that just directly
: kills Mazzarin.
I was using more of the second definition of the term as Merriam Webster's Dictionary notes "2. a decisive finishing blow, act, or event". The first definition is the most commonly used, though, which is like you said a "mercy" killing.
Perhaps, the Watcher was respectful of Mazz's power. Maybe he was one of those honorable bad guys, who didn't kill him for the glory or the sadistic pleasure but rather to protect himself or some other, more noble reason. If the latter were true, I suppose that Def. 1 could be used as well. Kind of like "we had it out like men, and the better man won, so let me finish it now. I didn't intend for you to suffer, only to be destroyed."
-Welly