I have a huge bounty and the guards won't arrest me. Why?

I don't really think bounty really matters and paying fines or going to jail is pointless, it wont cause you many problems just to run away or keep killing guards and civilians. My current bounty is at 4 million and the only problems I face are when I try to re-enter a city that I recently killed a bunch of people in like the past hour or so, but the agro in the city fades away.

No one else was in the building when I murdered him, which I assume was probably the case for you as well. Therefore, no one called the guards.

If you wish to be arrested and pay off your bounty, simply steal something in plain sight.

Otherwise, what happened to you is functionally identical to you choosing to resist arrest, and then dodging/blinking/running out of town - a trivially easy task so far in my experience. A town and its guards will always "de-aggro" to you eventually anyways.