I agree that from a very puristic Nazguls should not die like regular heroes do. It does bring a lot of balancing issues with it, because of the fact that most of Mordor's resource production goes into heroes and not units. Thus we can already see that some of Mordor's heroes are quite a bit more expensive while not being so strong as heroes in other factions.
I do not know for sure whether currently the Nazguls can be recruited without cost when Sauron reaches level 10, but I personally believe that this does not reflect the strong connection between Sauron and his Nazgul. I would say that this feature suits Sauron with the Ring a lot better, although it might prove a big issue for balance if one can buy 10000 worth of heroes for free.