Still no need to kill. There's plenty you can do to someone short of killing them that would demonstrate your power to them.
Mercy in the Winter Court is for the weak. And Mab will not stand for a weak Knight, since a Knight's weakness reflects on her. Mab expects her rules to be obeyed without question, and the penalty for breaking them is death. For her Knight, the "Fist of Mab" so to speak, those rules must be the same.
If Harry does anything less than what they have come to expect from their Queen, he is perceived as weak. If so, they will look to bring him down. If he were to, instead, horribly maim or cripple the Sidhe who challenged him, that Sidhe would spend an inordinate amount of time plotting vengeance. For Harry, dealing with predatory nobles who try to take advantage of his weakness, or fending off plots from his still-living victim would take time away from his duties, another thing Mab is less than thrilled about.
Also remember, as Harry observed in White Night among the Whampires, these Sidhe are effectively immortal. Death as a concept to them has a whole different meaning than it does to mortals. For them to risk death, and the millenia they would be throwing away as a result of coming out on the wrong side of the risk-reward ration, would represent a HUGE downside for them. With Harry's swift action, every Sidhe now has to weigh "torture a mortal for a few hours of fun and risk oblivion, or forgoe a few hours of fun and ensure thousands of years of existence".
Additionally, since these Sidhe are effectively immortal, the at-best couple centuries Harry would be around as Winter Knight will pass in the virtual blink of an eye.
So, no. In my opinion, anything short of what Harry did would have been a long-term disaster for him. Either he'd have doomed himself to non-stop attacks from the Winter Sidhe who would constantly test him for weakness, or Mab would have killed him outright for showing weakness in front of her entire Court.