Max did do the right thing. It was a struggle to do at first, maybe considered selfish to leave, but it was for the best. The family wanted him to leave as well, for his safety. If he stayed he would be dead by now most likely, and they may have been separated anyways, it was best for him to go and save himself, even though he couldn’t save his family. He still felt tortured through it, but it would have been better than him staying with the family and possibly being separated and killed in the end. It wasn’t a wrong choice to do.