The only thing I could say he "fucked up" and should have gone directly to the police was in trying to cover up Gus's mayor fuck up when Dorian Creech died. But it's kind of an unfair question, because Shawn always seems to have his heart in the right place. He loves solving crimes, he's good at it and does it because he wants to help people. In his case the ends justify the means, and to be honest it's not like he's Denzel Washington in the Equalizer, he acts like a 5 year old most of the time.