This in turn provides an occasion for an important moral moment for Cullen and Elam. Cullen knocks down one of his Kiowa opponents, but can't bring himself to kill him as the Kiowa rules and expectations require. The chief understandably takes umbrage, and gets ready to burn Cullen and Elam. Tied to the stakes, Elam can't believe that Cullen, who has killed so many, would sacrifice his and Elam's lives for the principle of not killing an innocent Kiowa.
This scene is all the more powerful because it contrasts with Cullen's allowing a Mormon boy to hang several weeks ago - ordering it, in fact - even though he knows the boy is innocent. Presumably that terrible event has brought Cullen closer to his conscience. He even apologizes to Elam for following his conscience and leading to his and Elam's deaths.
Of course, since this is television, we know that neither Cullen nor Elam will not die in this Kiowa fire - after all, it's just the 4th episode of the 3rd season, and - one hopes - nowhere near the final episode of the series.
Back in Hell on Wheels, Louise right at that moment is getting an earful from Durant about Cullen's murderous past. Durant of course neglects to tell her that Cullen's murders were a not unjust act of retribution for the slaughter of his family at the end of the Civil War. The result is that Louise now has doubts about the goodness she saw in Cullen - ironically at the very time that Cullen is demonstrating his decency in the Kiowa camp to the point of sacrificing his and Elam's lives.
It was an extreme game of lacrosse indeed, in the end of most because of the profound moral conflicts of life in the Wild West it threw into such high relief.
See also Hell on Wheels 3.1-2: Bohannan in Command ... Hell on Wheels 3.3: Talking and Walking
And see also Hell on Wheels: Blood, Sweat, and Tears on the Track, and the Telegraph ... Hell on Wheels 1.6: Horse vs. Rail ... Hell on Wheels 1.8: Multiple Tracks ... Hell on Wheels 1.9: Historical Inevitable and Unknown ... Hell on Wheels Season One Finale: Greek Tragedy, Western Style