Emma wasn't upset about the misplaced anger. She was angry, too. She was angry with Lois for getting herself this deep into something that should've stopped as soon as she'd turned it over to the police. She was angry with herself for ever being involved with the people who'd done this. Of course she was angry at the shooter, most likely one of the snipers he had been raising to find his next Moran. And him. Jim. Oh, she stayed angry with him for a multitude of reasons. Because it was easy to be angry at someone who couldn't fight back, who wasn't there to defend themselves from her rage.
The look she gave him was sympathetic but not pitying. She didn't pity him, even if maybe she should. She only knew his general backstory and therefore, didn't know all the reasons she could pity him if she chose to. But that wasn't her. Emma had her own set of reasons to be pitied. It didn't mean she wanted that feeling directed towards her by anyone. "It means she hasn't given up. As long as she's trying, it's good."
While Emma knew the young man could be dangerous, she wasn't afraid. Maybe it was that devil-may-care attitude she usually carried. Or maybe it was a side effect of the Boston foster care system. Never being afraid, even long after you should have been. Maybe if she'd been more afraid, this wouldn't have happened. Though the same could be said for Lois, too. "No, she shouldn't be in here. But it's Lois. She knew the risks, she knew what she was getting into. But this is her passion, it's what she loves. I can be furious with her all day. I can be mad at the entire world. But it isn't going to make her wake up."