I don't know if anyone else thinks this and maybe I am stating the obvious... but don't they have rather bizarre relationship? In 'Field Gray' we have a flashback where Heydrich is actually rather nice to Bernie - in his own way:
"Gunther, did you know this man ratted you out as part-Jew?"
"I did not know that sir. And?"
"Here is his file. You are traveling with him in France. On a long road. A long, lonely road."
"So many dreadful things can happen on a long, lonely road."
"Just take the damn file, Gunther, and make sure your gun is loaded."
When not terrorizing our Bernie, Heydrich actually seems to like him. Thoughts, anyone?