Perhaps Death doesn't keep a close enough eye on him? Or maybe that, like all of the versions of Satan in the MU, she has counterparts?
At any rate, you could explain it in the same sense that Thor is immortal. Thor can be killed, but he is considered immortal because he won't die naturally.
The simple answer about the Grandmaster is that he may have been killed but wownt stay dead.Which of course also includes almost every charater in comics.However he will show up again with the line"Fools,did you think I would stay dead"?Or some variation of that kind.