If you were a Soviet soldier captured by the Germans, you had a very short life expectancy, whatever your persuasion or ethnicity.
And IIRC the Nazis did prosecute some Concentration Camp commandant for excesses.
I will end by quoting Sadakat Kadri in his book The Trial which basically pointed out that repressive regimes are usually far more concerned with proper process than other.
Indeed, some of the most notorious concentration camp commandants - Karl and his wife Ilse Koch of Buchenwald, Rudolf Hoess of Auschwitz, and Amon Goeth as depicted in *Schindler’s List *- were prosecuted for their illegal excesses by the SS by Georg Konrad Morgen, who was himself in the SS. He got several of them executed for murder, too.
For what it’s worth, there have been genuine instances of the policy the OP described. The Roman dictator Sulla, for example, would post lists of citizens who were “proscribed”. What it meant was that anyone, even a slave, was allowed to kill a proscribed citizen with full immunity. And anyone who assisted a proscribed person was themselves proscribed.
It’s important to remember, though, that a lot of SS men who found themselves on trial for murder like that had the murder charges on top of other things like embezzlement, theft of camp goods, or “race defilement” (having sex with Jewish prisoners). It was very rare, almost to the point of non-existence, that a guard would have been prosecuted simply for cruelty to the prisoners.
Arthur Koestler made a similar point in “Darkness at Noon” - fantastic read, BTW.