In fact, the Nazis kept a group of captured important political leaders in a special subcamp of Buchenwald, as sort of hostages, under relatively mild conditions.
For some reason I am unable now to find a single source with a full list of the VIP prisoners (I recall once having read such a webpage). Anyway, the subcamp was called "Fichtenhain Special Camp" and this google book has some valuable information on it.
This webpage is also useful. Here's the most relevant section:
Princess Mafalda was not the only politically important prisoner at
Buchenwald. An area known as the Fichtenhain Special Camp and its
adjacent isolation barrack located between the SS barracks and the
Gustloff-Werk II also held a variety of men, women, and children who
were not allowed to mingle with the general concentration camp
French politicians, especially, were “guests” of the Nazis at
Buchenwald. Léon Blum, a Jew and the former premier of the French
Popular Front government from 1936 to 1938, was imprisoned here after
the French Free Zone was occupied by the Germans in November 1942,
following the Allied invasion of North Africa. Other members of the
French government held at KL Buchenwald included Édouard Daladier
(prime minister in 1940); Georges Mandel (the last minister of the
interior before the fall of France in 1940); and General Maurice
Gamelin (commander in chief of French and British forces in 1940).
Also incarcerated atop the Etterberg were Reserve Division General
Andre Challe and his son; Professor Alfred Balachowsky, director of
the Pasteur Institute; and a Mssr. Clin, director of the National
Library of France.
Here also was kept Dr. Rudolph Breitscheid, former chairman of the
German Social Democrat Party, and his wife. In the cellar of one of
the SS troop barracks was a special row of cells known as the SS
detention area, where the Protestant theologian Dietrich Bonhoeffer
was kept. Later evacuated to Flossenbürg, Bonhoeffer was hanged on
April 9, 1945, just days before the camp was liberated.
KL Buchenwald did not discriminate when it came to the nationalities
of its prisoners. Buchenwald also held as inmates Anton Falkenberg,
head of the Copenhagen police; Petr Zenkl, the former mayor of Prague;
British Wing Commander Forest Yeo-Thomas; and a former prime minister
of Belgium, Paul-Emile Janson, who died at Buchenwald in 1944.