I was just re-watching the film and this bothered me as well. The film is otherwise well-excecuted with really well-woven storyline. The reason this particular pivot point near the end bothered me is that Costigan was constantly doing things to survive as best as he could and running would easily put him at significantly more risk than exposing Sullivan right there with all the feds & cops around. Since he had phone call tapes to back him up as we found a few minutes later in the storyline, he would have a level of protection that would be well enough to cover him and get his "identity" back as he wanted.
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