In his own mind, with Moriarty speaking his own thoughts, he doesn’t even consider that his brother would be sad if he died.
He seems genuinely shocked when it’s said to his face.
What I really love about Sherlock’s reaction to Mycroft saying that isn’t that he seems to disbelieve the sentiment, but that he’s shocked Mycroft would actually say it out loud. Like, “Mycroft! We don’t say these things to each other!”