Having Joker shoot him would be.. well... boring? In my opinion, at least. He went through all that scheming to get a hold of the guy and that's how he's going to finish him off? If he's going to be that bland, he might as well have hooked a couple of guns up to Rachel and Harvey with timers on them instead of putting them in a room full of explosives. And I don't see why we need to have this big focus on Lau while Joker and the Chechen are talking. We clearly saw him up there, we know he's being burned to a crisp, so what more is there left to say (or show) on the matter? With Batman Begins, people complained that Nolan was beating people over the head with certain concepts, and now when he's going for something more subtle, people are complaining that he's now showing enough. Sometimes I think folks don't know what they want.
It's not that I want to see Lau die a gruesome horrible death. it's just that they show a frame with him on top of the pile and they never show another frame with him again. I mean, the dude was pretty important throughout the movie and they like forget about him.
You just don't do that. I mean the second he saw Joker lit up the fire he should've rolled over and fall down off the pile. We just don't know what happened to the guy and you ca suggest a thousand different things, plausible or implausible, unless we see a deleted scene on the DVD or something, we still won't know and that is shoddy filmmaking.
And as to why Lau isn't having a screaming fit up there, he could be gagged (I didn't notice whether he was or not when I saw it), or drugged, or the fumes from the fire could have knocked him out. It does look like those flames are taking a while to get to the top. In the old days, when they did witch burnings and the like, the victim was usually unconscious from the fumes before the fire got to her (or him).
Yeah, the victim was tied on a pole. Seems to me Lau had only his hands because he was sitting down with his knees crossed I think, he could've rolled over the second the fire started. But again, we're left wondering
Because of that, they actually looked into ways to start a fire so that the smoke wouldn't knock them out so quickly.