I felt that it was really only explained by them not actually knowing why or how. Hence why one of the MC greatest lost was that black guy who we don't even know anything about but suddenly not being immortal. Minus the whole promise thing, which seems like a not very fleshed out plot point but only to further a sequel. Apparently its books, so no idea where it goes.. but guessing plans for it to go.
Technically it was only really one person who "wanted to die" and he was the youngest of them, from the Napoleonic era while the other two were from the crusades and the 4th not really explained. He was nicknamed "the asshole" and goes on about being 'lonely' and has the whole sap story about seeing his family grow old and seeing them with seething hate in their eyes because of his immortality on their deathbeds.. I believe he said something along the lines of at least you have each other or something to the lovers. He was also the one MC appointed for the new girl to talk to about seeing family when she was whining about loved ones.
As far as their regeneration goes, from an explosive.. the only novelty bit we have is when "the asshole" was on the recliner with a giant stomach wound and responds "the bigger the wound the longer it takes." So maybe they've experience such events? I can't remember but I think one of the gays said something about not wanting to lose them again or something, idk.
As far as bullet proof vests, weren't they wearing it when they were suited up in the initial scenes? I think by the end when the new girl was trying to put it on the mc, she was still adamant on the whole "if its my time, its my time" and I guess for the rest after they were released from capture, for cinematic sake; they just had em run through the place. /shrug.
