I believe that The Courier is unknowingly the Highlander. He set the Courier up under the false belief that Benny is also playing "the Game," hoping that Benny will be able to kill him. He is afraid of facing the Courier but not of facing Benny, thus he'd planned on facing Benny afterwards.
In the Lonesome Road, Ulysses will yell "there can be only one!" before trying to decapitate you with his flag pole.
