Azazel did give his remorse to Issei later on, seeing that he only sent Raynare to investigate and probably talk Issei out to join the Grigori, and killing was out of his initial plan (again, as we see with Lavinia, Tobio and Vali, man's got a point to not kill Longinus possessors unless they have malicious intents like Augusta, later Walburga, even then, the latter's Holy Cross only got stripped and later given to Lint). It's not like he's out to kill, seeing that finding the next possessor/wielder after killing the current one is a pain in a cow's arse.
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