i don't think he actually feels bad about it. he doesn't really experience guilt, or only does so very rarely and to a limited extent. i think he was mostly just trying to play the role of a gentleman and a psychiatrist here (a damn good one tho)
this scene is always such a powerful reminder of how Hannibal's mind works. he is actively consoling a grieving mother, who is only losing her mind because HE killed her daughter. and if you know him well, you know he genuinely feels bad for her, but he doesn't regret that kill.