I'd like to think that there are two good reasons they showed Lydia dying and Walt telling her about it.  One, we got to see a side of Lydia that we hadn't seen before - disheveled, hair down, sickly looking, calling her Nazi sociopath boyfriend because she wasn't feeling well, confused when she didn't recognize the voice - to see how thoroughly he had beaten her.
Walt just dominated everyone in the final episode.  He made Gretchen and Elliott uncomfortable in their own home, and extorting their assistance but not their money.  He said I didn't do what you wanted, so I didn't get all of your money, but I never needed your money, and I can make you do what I want.
He thought (at the time) that he had ordered Jesse killed, but then he went to Jesse's best friends and made them help him, then when they said, I don't feel too good about what we just did, he gave them an, OK, here's ten grand.  Now how do you feel?
And with the Nazis, he didn't hunt them down with a sniper rifle, or hire someone to kill them, or blow them up.  He walked right in there and met with them, followed them killed them with him in the room.
Which goes along with my second point - Walt wants to take credit for his work.  It's the quite literally fatal flaw in his character, from the time that he couldn't kill the kid in season one without having a beer with him first, to him convincing Hank that Gail wasn't the real Heisenberg and seemed like a copying hack, to him telling Jesse about Jane.  He had to talk to her to tell her that she didn't just have the flu, he had killed her and there was nothing she could do about it.  Answering the phone when Lydia called closed the loop on both of those, while also giving us a much needed break from the realization that the show was ending, the Nazis had just died, Jesse had just killed Todd, Walt was wounded, and possibly mortally, Jesse had refused to kill Walt, but made him say that that's what he wanted - just so much stuff to deal with, and then here's his chance to deliver one last crushing blow to an enemy.  Perfect.