This idea originated in the Evil Overlord's List, which clearly states that you should never leave an enemy alive, no matter how weak or non-threatening they may appear, because they will ALWAYS come back to stop and/or kill you later.
However, if villains always killed their enemies, no matter how weak, our heroes would never get the chance to escape by the skin of their teeth and stop the villain later, and what kind of movie would that make for? You know, aside from the laughs you'd get at a scene like the one above, where the "heroes" feel dejected that they're not worth the bullet or worth the risk of bending the villain's blade.
Although, now that I look at this comic again, if Bob is so busy that he can't be bothered killing Mega Man and George, why's he just standing around talking to them? Perhaps his reasoning is simply an excuse not to kill George, whom I think Bob has always had something of a soft spot for. And, who knows, maybe he really does think that trying to kill Mega Man would be too much of a distraction from his apparent main goal of killing Proto Man.