The feds probably wouldn't have cared much for him because he didn't really have any dirt on Gotti, he was a civilian. They would have just told him to go to the local police and maybe they'd give Gotti a restraining order or something from him which would only make things MUCH worse because then Gotti would be very pissed thinking he's being a prick or worse yet, ratting.
There's also the school of thought that Gotti's crew acted alone and took care of him to score points with John. They say John never gave the okay but who knows.. he could have given them a look, he could have said something that sounded like an okay, there's all kinds of possibilities.
I personally think he did know/order Favara was going to get whacked which is why he went to Florida 3 days before so he could have total deniability.

The thing is, being in a position like Favara was, you never know what to do. Moving away would be seen as a guilty move and Gotti would have done EVERYTHING in his power to track him down. Going over an apologizing would have probably been just as bad, going to the cops even worse, it's a very delicate situation.