He says that randomly when you lose a ball, not just when you lose all of them. The references are funny. I personally laughed out loud when he goes 'Duke 1, Gears 0'.
As for power armor and regenerating health, it's not even 'health' exactly. If you think about it, Duke's ego is what keeps him alive lol and his ego comes back when he's not being pummeled, like anyone's would honestly. It's actually a very well done and thought out system lol.