They did do the murdering an Undercover cop in the Punisher WarZone movie. Too bad the acting was nightmarishly bad.
He did have a scare back in the Girls In White Dresses arc where he thought he killed a little girl in the crossfire. It was later proven to be another bad guy but he still angsted and nearly committed suicide.
Frank understands the risks he takes, but the reason MAX works so well is that it's more realistic than 616. The Punisher is the one Marvel character who only works well without other heroes. MAX is mainly realistic in the sense that super heroes don't exist, it still follows comic laws like the hero has great aim and the bad guys don't and so on.