Captured would have been nice, but I believe he said himself that he would kill himself before that happened. It also probably would have been riskier to stage a more complicated operation to guarantee capture. Having him dead and no soldiers wounded in the operation is a pretty successful result.
As for avoiding high-value targets for a while, I'm more worried about the lone-wolf sniper type that go after random people and not buildings/symbols. I'm not worried about myself since the chance of something happening to me is ridiculously low, but it still bothers me that it might happen to someone else.