Other mistake: During the mine scene, we see Stacy Sutton in very tight miner's overalls. Then, Mayday rips them off to reveal the white dress she was wearing beforehand. There was not enough room in those tight overalls to hike up or bunch the skirt in any way for her to move her legs or have both legs in both pant legs. (01:47:05)
Other mistake: Stacey says to Bond that the jar she throws on one of the men that attacked her house contained the ashes of her grandfather. There's actually nothing in the jar. (01:14:20)
Other mistake: When Bond is blowing air out of a tire underwater to signal Zorin that he is dead there is a stem that must be depressed to let air out which would be impossible to do that with your mouth over the valve. Obviously Bond would have drowned. (00:51:35)
Chosen answer: Zorin is a psychopath. He may have meant it when he told May Day he loved her, or he may have just been telling her what she wanted to hear. Either way, when he thinks she'll drown in the mine as well, he doesn't consider it worth scrapping the plan just to save her. Once she escapes and has the bomb, he looks shocked partially because she wasn't killed but mostly because she's chosen to sacrifice herself to thwart his plans, something that a self-interested psychotic personality can't comprehend.
Captain Defenestrator