Say there's an unsolved murder. There are many suspects, some might be in jail. Everyone is mixed up in this. If a man is on his deathbed, he knows by admitting to something he didn't do, it would absolve the guilty party. The guilty party (or his friends/family) will compensate a ton of money. It's not just in the mob, but in everyday life here in the US.

I know there's no hot place, but I don't understand the financial compensation and protection. Can you explain this please?

There is no hot place after death. They do this because they're going to die anyway, and their fake confession to someone conveniently there is for financial compensation, and protection.

They're frightened of going to the hot place is all.