Vikings,even creepy ones like the Bastard, are tough nuts to crack. You won't get info from them with a"pretty please with cream and sugar on top", and Lagertha doesn't know if time is a critical factor in finding out who paid this guy to attack Kattegat. WE know who, so we know she has time to use less vicious methods, but Lagertha doesn't know that. It seems logical that due to the possible need for haste the most effective method (which maybe DIDN'T hold out the promise of Valhalla) needed to be used. I didn't get the impression that Lagertha enjoyed using that method, but it WAS effective. Its not as brutal as blood-eagling( and Ragnar and sons seemed to actually enjoy that) and Lagertha didn't feel the need to kill him after she got the info. And yes I DO also understand that she knows Harold & Co will do it for her.