This one is shapeshifter with an unknown arsenal of skills.
Even aside from moral judgment that he propably deserves to die, it's still a mess to keep him captive.
We don't know if he can heal aggravated (propably not in combat-time, but possibly in captive time), we don't know how big or small he can get to escape chains or cells, we don't know how easily he can step between the Nevernever and reality, we don't know what other tricks the old monster has tought him.
He's a risk, not in particular to Molly in anything resembling a straight fight, but a risk to almost anyone else and a flight-risk for sure.
And unlike his fellow monster last time, we don't have a powerful Whampire to put him under her control.