Not explaining how death works in Hell is really inexcusable when the entire motivation for the plot revolves around it. It's not like it's meant to be a secret, the creators have been more than happy to explain it in q&as. So why not have Angel say something like this instead of his joke about "Double Hell":
>"Sorry toots, you missed your chance. You know the rules; the end only comes when you get run through with a spear by one of God's finest. And I've been dodging them for over seventy years running."
See how easy it is?