Because he had brain deficiencies. Back then, if you notice the time era, the police would make fun of and torture people like that. Have you guys seen The Green Mile, where the "evil" cop doesn't wet the sponge when they electrocute the guy? Almost the same premises, but this guy is basically retarded.
I think he did the right thing, and if you noticed the relationship between the two, they were great friends and George loved Lennie. I've only seen the movie, but I think the movie explained enough.
Yes, I think he did the right thing because if he didn't and the cops found them, Lennie would definitely be executed if not tortured by the cops in the prison.
Just my thoughts.