The existential nightmare of being a Skeksis
I love this scene.
They do not want immortality because they are just evil and want to live forever.
They want immortality because they are just so fucking afraid to die, and are terrified as to what the afterlife would have in store.
It gives their actions an insane amount of depth knowing that their motivations are laid in such existential fear and agony, unable to come to terms with, or even imagine, what lies at dream's end.