He did say "you can't choose who you love" to Brienne. And also told her to kill the guy that saw them, had she done that, they wouldn't have gone through what they did. He has his own set of morals. He is a practical man, not necessarily moral, but he isn't downright evil to need redemption. This is how he has always been. Doing the right thing when it doesn't cost him much, but his safety and that of those he cares about come before any other sense of morality.