One of the salient criticisms in the Atlantic piece about The Method related to Leto is that its pretense to prestige is tapped out, especially in relation to Hollywood. This is fair and not new. Tropic Thunder was 8 years ago and is largely about this.

Nacho doesn't appear on Breaking Bad, but Saul Goodman mentions him in Breaking Bad as a past client. So at the very least we know Nacho can't die until Jimmy provides him with legal counsel.

Before confess? Oh definitely.
Walt might have seen the situation as a test of his intelligence. He might have done something like set the building across the street on fire or slammed into a bunch of parked cars to set off their alarms to get emergency responders to show up and find Chuck. Something that hurts a bunch…