So what's tormenting Cy as he hangs out with Leon in that instant is that he feels weak, disgusted with himself and his inability to act. It's also important to mention that Leon has been Cy's 100% complete and utter bitch, much like Cy was for Hearst & co. So Leon, a slave to opium (seen as a personal flaw and weakness rather than a disease in those times), is in a sense a mirror of Cy, and Tolliver makes this connection. When Cy is looking at Leon in those final moments, he's seeing a spineless, pathetic individual - but he's clearly able to understand the connection between Leon and himself. So when he kills Leon, he's in a sense venting his frustration by killing his own weakness and his own flaws. You'll notice he didn't kill the whore, despite threatening her (as he was in one of those moods), because she was not a mirror for Cy in the same way. The murder strikes home exactly how ashamed and impotent Cy was feeling over his inability to act and sacrifice his own life to take Hearst's (certainly it was in his head that another whore we know and love had the balls to make such an attempt, but I don't feel this had any impact on his decision not to kill 'Stupid'). That Cy was feeling so strongly then is very relevant to other themes that the show has attempted to get across, such as one of the big ones I mentioned earlier.