"... I may not have a choice, but... I will try." Thanatos is honestly expecting a massive number of mortals dying upon his return, and it's likely to hurt at first. However, Charon and Hermes should be able to lessen that pull once they realize what is going on.

"I will miss these though." He motions to the cookie. Mort is eagerly sniffing at it and squeaking that he will miss cookies too. "Among other things."

Like being treated like a person, more than his role.