That's a good point about the sheer amount of health required, which is my response to Wayne not wanting to be shot in the head: he just wouldn't have the fGold to heal it completely and instantly before bad things happened permanently.
I'm not so sure about Marsh compounding. We have an oblique quote (link still broken) from Brandon hinting that Inquisitors never figured out compounding:
Beyond that, I think Marsh runs out of healing when fighting Vin at the end, and they generally just don't abuse Feruchemy as much as they should if they have compounding.The Inquisitor's Speed
What the Inquisitor does here at the end is very important. If you've read book two recently, you may recognize this as what Sazed did when he tapped speed at the end of that book.
The Inquisitors are gaining Feruchemical powers, which makes them very, very dangerous. Mixing Feruchemy and Allomancy is what made the Lord Ruler so formidable. Fortunately, it took him a long time to figure out how to mix the powers correctly, and the Inquisitors haven't had the time to practice, regardless of the force controlling them.
For Marsh, I'd just go to Inquisitors being weird. The annotation link is dead (because of course it is), but I distinctly recall Brandon saying that Kelsier decapitating the inquisitor worked because it separated his head spikes from his linchpin spikes: not because he was missing his head . So I imagine that Marsh might be able to live through a bullet through the brain, at least for a bit.