Luther Harkon, maybe I just read over it, but didn't the NPC they murdered have a plot-function of sorts? If so, it's pretty easy to show your players that killing him maybe wasn't the smartest idea: their work gets more difficult. Maybe he could have told them something that better prepared them for running into this cultist lair or what have you, I'm sure you can think of something. You get my meaning, just make it abundantly clear that shooting first and asking questions later might not be the best way for inquisitorial Akolytes, in their own professional interest.
Since it obviously was a comprehensible in-character decision, I wouldn't opt for insanity and definitely not for corruption, but I think what you're planning with the investigator on their tracks is definitely appropriate. No consequences at all would, as Spacebaty pointed out, be simply boring.
And yes, real humans are a bunch of sadists covered by a thin sugar icing of civilisation. Still, that fact does not relieve you or your duty as GM to set the mood at your gaming table. Roleplaying is a work of fiction, and it follows essentially the same rules for drama as more linear means of storytelling. So, if you (and your group) want an emotional backdrop of "life is cheap and the world is bad and hell we dont give a ****", fine, let them roll like this. If you're aiming for something more... refined, for moral greys, guilt, action, reaction, consequences (well, the Shakespearean stuff basically), then no, don't let them get away with this.
Of course, just my personal 2 cents