Why is there no blood on the sword? There is a freshly severed head on the ground!
Yes, there a many beheading scenes in the history of art! Especially from this time period. I really love how different the executioner looks from the saints. The saints are painted much softer than he is.
He looks more weathered or rugged than the others?
Yes, I agree, I love how the painter is telling us about the characters through their facial features.
What are the golden circles on their heads?
Those are representations of halos indicating that the figures being put to the sword are saints. They are also the only part of the painting, other than the detail on the saint's brocade, created using gilding. Beginning in the mid-1450s, halos gradually began to be represented more three-dimensionally but by the High Renaissance (in the mid-1500s) they became unfashionable, usually reduced to a nimbus (a semi-transparent halo).