OH my god ! I read it wrong. Sorry.
Sully, you're completly right on this.

So the take away message is that if an Opposing fig is KO'd within 8 squares of Nekron and Mistress Death is on the same team as Nekron, that figure would be removed from the map even if it was chosen by Mistress Death. That stinks.

No, mistress death specified the character is considered KOd when Mistress Death is KOd (as oppose to being KOd now), this would mean if her power triggers first, Nekrons can't trigger.

Incorrect.

ALL BECOME MY SERVANTS, EVENTUALLY: Once per game, when an opposing character is KO'd, if that character is a lower point value than an already KO'd character from your force, you may place the opposing character adjacent to Mistress Death on their starting click as part of your force. That character is KO'd if Mistress Death is KO'd.

That trigger for Mistress Death is the same trigger Nekron has. They both activate at the same time.

The part you are referring to is:

ALL BECOME MY SERVANTS, EVENTUALLY: Once per game, when an opposing character is KO'd, if that character is a lower point value than an already KO'd character from your force, you may place the opposing character adjacent to Mistress Death on their starting click as part of your force. That character is KO'd if Mistress Death is KO'd.

Basically, the character is KO'd a second time and this has no bearing on the timing for the first bit.

I think the real take away message here is don't play Nekron and Mistress Death on the same team...

Yup, bad interaction. Yet you can choose not to use one of the two powers. So you can either bring a character back for good or just for an instant.

Nekron's ability is not a may. The free action is, but not the power which removes them from the game.

Such "logic" has never stopped me before, Slagurth.

Ugh, imagine the headaches in a 4-way game where one player chooses Nekron and another chooses Mistress Death.

DEATH: Your soul is mine!
NEKRON: I saw him first!

Why would it be confusing active player would still get to decided.

It wouldn't matter who the active player picked to go first

If nekron's power goes first...

The character is not KO'd, healed once.
Mistress Death moves the character adjacent and heals to full
Character becomes friendly to Nekron, gets free action, is removed from the map


If Mistress death's power goes first...

The character is moved adjacent to Mistress Death, heals it to full
Nekron heals it 1 more(which does nothing)
Character becomes friendly to Nekron, gets free action, is removed from the map


I can't think of too many situations where it would be advantageous to waste Mistress Death's once per game power on just relocating the figure. Since it is a free for all, the character would just get to attack Mistress Death.

My answer has nothing to do with the power interaction just the fact that the order of resolution would not be that confusing. As for a fix in any games i judge I'm going to rule that mistresses death power works like an instead wording till we get a clarification/errata

I want to play Nekron, Mistress Death, and Hela all on the same team.

From what I can tell you can either use Nekron's or Death's off 1 kill, never both. If Death's power is used they are healed and become permanent friendly. If Nekron's they get 1 action then removed. I don't see how you think that Death's new minion would use Nekron's free action then be removed.
Just be sure to use Death's power first, then it doesn't matter when Nekron's would activate.

Nekron's power must be used anytime something is killed in range.

Nothing about Death's power stops Nekron's power.