The real question is why should they have killed August von Mackensen? Although the recent HOI4 has a scenario where von Mackensen becomes one of the replacements for Hitler in an army-led coup, the game's designers are playing very fast and loose with German history. As I outline in this answer of mine on monarchism in the army, we have to be very careful in examining the political stances of the army leadership and not take them at face value.

Such the same applies to von Mackensen. Although he was the senior and sole surviving field marshal of the Kaiserreich after von Hindenburg's death, the aged marshal did not really use his prestige against the new regime. Von Mackensen did make a speech in 1935 that mentioned the murders of Generals von Schleicher and Kurt von Bredow during the Night of the Long Knives, but this was not an open attack on Hitler. The speech was part of a semi-private meeting of the Generalstabsverein (General Staff Society). This organization was established in 1921 ostensibly for discussions of military history and contemporary developments, but was a semi-clandestine way to circumvent the restrictions of the Versailles Treaty which forbid a General Staff. Von Mackensen was the society's first head and he had a good deal of cultural prestige within it, but that was the limit of his involvement in actual Weimar politics.

The same could not be said of von Schleicher and his chief lieutenant von Bredow. The former was Hitler's predecessor as Chancellor as well as a Minister of Defense. While he was instrumental in bringing Hitler to power, he did little to hide his disdain for Hitler and even broached the idea of deposing him within his social circles. These were men who had personal and institutional connections, especially with von Hindenburg and the Reichswehr, that could have stopped Hitler or constrained his independence. Eliminating these two military men was a way to add veracity to the claim that the SA was plotting to overthrow the Hitler government and show the NSDAP's nationalist-conservative allies what might happen if private grumblings about the parvenu Hitler went too far.

But assassination and other violence such as arbitrary detention were the exceptions rather than the rule for the Third Reich's relationship with nationalist-conservatives like von Mackensen. Hitler much rather preferred to win these figures and institutions to his side rather than compel loyalty. The Reichswehr largely went along with the Blood Purge because it eliminated a potential rival in military affairs, the SA, and Hitler's government checked off a number of political boxes for its leadership. The dismantling of Republican institutions, the outlawing of socialists and other leftists, and restoration of the imperial flag were major political issues that members and veterans of the armed forces were champions of during the Weimar decade. Unlike their conventional political allies like the DNVP, the NSDAP actually accomplished these goals. Moreover, Hitler clearly pushed for a rapid rearmament and an end to the Versailles Treaty.

Von Mackensen did not just give his silent assent to these moves by the Hitler government, he openly praised them. He was more than willing to be used as a public and quite visible presence at state affairs celebrating the military. The German historian Theo Schwarzmuller has found extensive private correspondence between the Field Marshall and his sons that reveal the aged von Mackensen supported Hitler's expansionism to the East, indifferent to the state persecution of the Jews, and was whole-heartedly opposed to democracy. The murders of von Schleicher and von Bredow were one of the few areas where he and the regime parted ways.

It is telling that Hitler dealt with news of von Mackensen's Generalstabsverein not with violence or other forms of state power, but with a bribe. Within ten days of his speech, the Field Marshal received a massive estate at Brüsow and a RM 350000 Dotation, tax-free, for his life-long services to Germany. It is also telling that von Mackensen accepted this obvious bribe. This set a precedent for a system of illegal and semi-legal rewards for German officers. The officers cashiered because of the Blomberg-Fritsch affair all received their pensions and von Blomberg received a RM 50000 departure gift from Hitler.

The military's acceptance of this corruption belies veterans' postwar contentions that the Wehrmacht's officer corps was above politics. The officer corps only really turned on Hitler when it appeared he was losing the war, and even there the military's actions were constrained and rather limited. The 20 July plotters were a distinct minority within the armed forces. Von Mackensen fit within the wider trajectory of the upper-echelons of the officer corps in that whatever his private doubts about Hitler, he steadfastly supported the war and the regime in public. This continued support for the regime was one of the cardinal reason why he did not have a target on his back during the Blood Purge: he was never an enemy or rival of Hitler to begin with.

Sources

Goda, Norman JW. "Black marks: Hitler's bribery of his senior officers during World War II." The Journal of Modern History 72, no. 2 (2000): 413-452.

Schwarzmuller, Theo. Zwischen Kaiser und »Fiihrer«: Generalfeldmarschall August von Mackensen, eine politische Biographie. Paderborn: Verlag Ferdinand Schoningh, 1997