Jessica's feelings were complicated. She wanted to save Hope, since they both had shared the same horrible experience and JJ felt obligated to help since 1. she was the only who understood; 2. Killgrave picked Hope and destroyed her life just to mess with JJ.
She also had mixed feelings for Killgrave; yes, he was a monster, but he was the product of his past and maybe there was redemption for him as well. Let's face it, if Killgrave's powers could be used for good, he'd be the greatest superhero of all time.
Then there's the fact that Jessica was trying to learn about the source of his power. If he had just been a mutant, maybe she would've just killed him, but what if there were more of him out there? What if something was turning people this way? It was very important to know.
Plus Jessica's own need for redemption that others mentioned. Maybe these things aren't clearly stated in the show, because there are things not even Jessica can say to others, but they are clearly implied.
I prefer Killgrave dead. Not only was keeping him alive a useless cliche (often followed by some sort of redemption, another boring cliche), but overuse would've undermined the character. He was interesting because he was a mystery, because his actions were unpredictable all throughout the show. Now that we got into his head and saw pretty much everything he could do, there couldn't have been any more real surprises with him. A new villain is just what the story needs to prevent repetition.
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