He might have lost it in some significant (tragic?) way to something so powerful it couldn't regrow, and whatever that situation was is now directly tied into his current motivations since his deal seems pretty personal.
I'm not into the "missing finger as phylactery" theory but I thought of a dumb variation if his regenerating isn't a natural trait of his species. Like maybe he somehow sold his soul or whatever and is essentially almost immortal, with multiple opportunities to survive death, and he'll come back next time with another finger missing. Or something.