We can try to kill him and we will get the key to another of his treasures, or simply leave him, and there is no obvious moral choice. Cohen spared our lives because he believed we would not appreciate him properly, and he repelled anyone who disagreed with his vision and ideals. By not killing him, we respect his artistic vision no matter how twisted it may be. In BioShock, there is no dialogue system, and we can only interact with the world through gunfire.
With Sander Cohen in Fort Frolic, we encounter a completely different type of antagonist. We must see the world through his eyes, we need to perform for him, we must cooperate throughout our stay in Fort Frolic, and in the end, we need to make a choice: does he deserve to die for what he's done, or do we have some sympathy?