Morales are very grey in this show, there is no clear black and white. Sam and Bucky have not done anything illegal though and are 100% the heroes of the show.
*Sam was doing a military contract at the start of the show and yes he killed people. It's what soldiers do when on missions if they have to. His objective was to rescue the hostage and he had to kill people to do so. He was still on mission in episode 2 with the truck fight and he still is on mission by episode 3. Once it was found out that Sam helped break out Zemo out of jail the military probably cancelled his contract then.
*Bucky hasn't killed anyone as far as I remember, he has severely hurt and knocked out a few people though. He doesn't have a military contract but he was sure allowed on the military based to talk to Sam and he was allowed to board the plane. His psychiatrist also OK'd him for active duty in episode 2.
*Walker started off good and had good intentions but he was suffering from PTSD and never should have been given the mantle of Captain America. The American government fucked up by doing so and if the super soldier serum works like the old serums it's going to strengthen his current personality traits. He is going to be even more unhinged and liable to hurt people with his "not good enough" syndrome. People are talking about him like he is a good boy just because he works for the government but do you really think the government would want him to take the serum?
*Zemo, definitely a bad guy but without him they would not have caught up to Karli. Walker sure as hell doesn't know how to track her down because he is just following Sam and Bucky's movements. Zemo will theoretically go back to jail with an extended sentence for killing Nagel.
*Sharon is very grey, she stole Cap's and Sam's gear back in Civil War and has been on the run since. She had to do what she could to survive and ended up in Madripoor. She killed a bunch of guys in episode 3 to cover Sam and Bucky but this is equal to bad guys killing bad guys. *shrug*
*Karli is the villain of the show and she deserves to be in prison. Sam most likely wanted to talk her down, disarm her mental defences and try and bring her in peacefully, but Walker fucked that up.