yeah, the "Mad" part in his name should be a warning that he wasn't going to operate by normal rules 
Well, no, he didn't. He liked to have his bagpipes with him as well. (Being a Scott also suggests he's probably not going to want to operate by normal rules.) He even played them once while waiting to be captured, surrounded by the bodies of literally his entire unit. The German troops were apparently somewhat scared of him, since (a) Scotts were generally regarded by Germans as being completely mad anyway, and (b) he's sitting out in the open making a tremendous racket after losing a massive firefight really badly.
He joined straight into the Commandos, not really knowing anything about what that was except it was dangerous and therefore fun.
After being captured, he simply walked away from prison camps until they stuck him in Colditz, the castle where they held the most persistently successful escapees. He was working on getting out of there (he was involved in the quite audacious glider project the prisoners had going) when the war ended in Europe.
He was about to head out for the Far East when Japan surrendered, and is reported to have been annoyed at the war ending at that point.