Honor his wishes and let him work things out with his captors since he is there to help them and oppose his own country. No need to risk American life to attempt his rescue. He said he didn't want bloodshed on his behalf. He understands the consequences and took the risk of having his head carried out in the basket.
If hundreds more of his kind venture over to Iraq are we to waste men, women, and resources to rescue them?
I understand you sentiments, but also know, that if our forces gain intelligence that would make a rescue feasable, they will act on it. They are equally convicted to protect and defend US lives and liberty.
I certainly won't call you cold-hearted for saying that. The really cold-hearted thing to do would be to want him saved despite his wishes and thereby support the cause of the terrorists.