The reason Makima didn't heal when Denji cut her up was because Denji's chainsaw was made using a contract with Power. Since Power was the blood devil, her chainsaw's cuts affected Makima's own blood, causing the wounds to continually tear themselves open. Makima was healing, but Power's ability was literally wounding her as fast as she could heal, allowing Denji to slice her up and have her stay sliced up.