Then why the lie? Why tell Frankie that "Michael Corleone says hello" 10 seconds before he's dead? Why not tell him "That jew in Miami sends his regards"?

There's no sense to it. The only reason to do so is to make Frankie believe that Michael ordered the hit on him. And why do that if the main goal is Frankie's death? That's as much nonsense as Sollozzo telling Luca Brasi that "Vito says hello".

Taunting? I'm not buying it. Especially when it's revealed by Tom later that Roth engineered the whole thing.