Furio was one of her best soldiers. Tony had no real influence to have him killed over there and for what? Fantasizing about banging his old lady? It's not like Italy is a short drive away from NJ, she could tell Tony that she'd take care of Furio for him, they're looking for him and he's a dead man and all that how would Tony ever know? He may as well be on a different planet. Furio wasn't expendable for the sake of the stolen car business they had going and he had more connections with that family....it would appear both his father and uncle were up there in rank. Tony telling Carmela people were looking for him over there was posturing on Tony's part.

The actor who plays Furio is a very accomplished painter btw. I am an artist myself and I was very impressed at his "master" level of painting skills. He painted a portrait of both Tony and Carm as royalty for some magazine while he was still appearing on the show, very, very talented guy. He's making some $$$$ off his paintings, and not because of the novelty factor of him appearing on the show.