I'm sure they'd have liked a capture if the option came up, but they weren't going to risk a missed chance by hesitating to shoot. It's true that his death in itself is unlikely to do much; I doubt that he alone held all of his organization's secrets in his head, and no no one will know what to do without him. There are other leaders that can pick up the slack. However, he was an icon of what he stood for, and the death of an icon can have a considerable impact. Those who had considered joining may lose some faith in the group, may be afraid to step in line with a force that just lost its head, and current members may have their loyalty shaken, especially during the subsequent disorganization.
For the most part though, yes, it's more about people declaring victory over an enemy. That's the way it's always worked; leaders take much of the credit, good or bad, often regardless of their actual influence. An act creates an enemy, an enemy needs a name, a named enemy becomes the target for those wronged. It may or may not be of any benefit, but people will always seek that goal and celebrate its victory.
Edit: The death of an icon can also empower a cause as a martyr, of course, but that rarely stops people.
In the past, has this type of thing meant that people think the clouds have parted and allowed the sun to shine down on them so that nothing may ever go wrong again? What I'm saying is I'm worried people may not realize or care much that there's still an entire organization that wants to harm their country/countries and they may become even more aggressive... partially based on that martyr status you mentioned. He's one man, hence I really don't see why this is a great victory. The great victory will be the destruction of affiliated terrorist groups, not the killing of one man, in my opinion. :shrug: