Rick could not let the gunman fall into the hands of the FBI because this man was one of their backup agents, a sort of standby choice for various plans. Although he had not participated in the plans, he had already made contact with Rick, and even if exposed, it wouldn't threaten the plans but it could endanger Rick as a person.
Rick was a hands-on person. Most of the agents of both the Harvest Plan and its advanced version, the Las Plan, had been scouted and brought into the scheme by him, so he knew each of them well and had been following up on these plans.
If the FBI managed to break him, it would inevitably lead to Rick's exposure, thereby jeopardizing all the plans and everyone involved with the plans. Therefore, keeping him silent at all costs, or getting control transferred to an agency where he could intervene, was essential.
