Why do you think Richard Connell skips directly from the conversation between Rainsford and Zaroff to the hunt?
General Zaroff's revelation to Rainsford about his favorite big "game", specifically humans, launches the two immediately into a situation of foe vs. foe. General Zaroff, though he admits to having read Rainsford's writings on hunting and clearly presents him with his admiration for his knowledge and skill, has already made it clear that Rainsford is now a target, a victim, his prey. Therefore, there really remains no need to continue a civilized conversation as really Zaroff is showing that he is not as civilized as his wealth and status initially suggested. Also, Zaroff's ultimatum that either Rainsford participate or meet his fate at the hands of Ivan cuts off any additional intention of "friendly" conversation either man may have initially had.