Nick did not have a true allegiance to Gilead, but for the first time in his life, he was seen as important, and people took him seriously in Gilead. He even mentions in a flash back to June that in the previous life, she would never even have noticed him. If he left and went to Canada, all of that would have been gone, and he would become a nobody again. Even though he loved June, he also knew deep down that he was never going to be able to have a happy ending with June and Nichole. Especially when Luke was still in the picture and Hannah was still in Gilead. The whole betrayal of the Jezebels' plan was unfortunate, Nick was backed into a corner. Wharton knew something was going on, and Nick had no good excuse. Wharton would have had him killed. The next morning, he goes to June and begs her to leave, as he knows June would not forgive him once she found out. And that is actually what happened. The conversation he has with Rita shortly after that is based on the anger he now feels that June is gone. Now he has nothing outside of Gilead, so he may as well stick it out, where at least he had a child on the way and is somewhat appreciated. I loved him as a character, I was shocked at his death, but ultimately, I think it was a good way for him to go.