Why the paranoia
Stalin knew no one could touch him. That's why he wasn't afraid when Sergo/Sergei held a gun to his head. Then why the paranoia? Why the killings of his own friends? Was it a display of his 'sense of humour'?
No one could touch him really just because they were so afraid of him. When Beria took power, he was too cocky and wasn't paranoid like Stalin (and felt untouchable) but Khrushchev was able to convince enough people to join him in his coup. Point is that even though Beria was probably even more of a sadist than Stalin was, Stalin's paranoia and terror and watchful eye of his friends kept him in power, whereas Beria thought a lot of the leadership was stupid (especially Khrushchev) and so kept his guard too low.
Same way Heydrich died. Being too cocky, feeling untouchable, and not paranoid enough.