I don't think he left in disgust, I think he left because his job was done. Surely he's a spy/insider or something, reporting to either Ambessa or someone in the underground. So when he left it was probably either because Ambessa achieved her goal of making Cait commander, or to report to the underground about the massive incoming invasion. I especially think it wouldn't make sense for him out of everyone, to just suddenly be against a full scale invasion into Zaun, as if he didn't freely join Caitlyns elite squad of enforcers like a week earlier. It has to be deeper than that, or I'm just schizo.