Honestly, Christopher Lambert movies deserve a podcast on their own, he is one of the worst actors I have ever seen. You can call it "How did he get paid?" or something.
Anyways I think I get the deal with Highlander, at least the show was explained to me like this: They are immortal. But deep down they want to be mortal I think. There can only be one immortal, so they have to kill each other, which actually kind of makes them mortal. Then they can die because they are now mortal, because they killed all the other "immortal". See? Simple