It depends. If I'm making drugs illegally, and in doing so I shoot some guy to keep him away from my drugs, then I should feel guilty. But if I'm not directly involved in that violence, then my feeling guilty for that illegal process only encourages the people who would use your morality to enforce their own corrupt principles. Not feeling guilt for the things you didn't do forces the corrupt laws to look at themselves and eventually revise.
How do you define direct vs. indirect involvement?
If a weapons dealer sells a terrorist a bomb knowing it will hurt innocent people, the dealer might not directly detonate the bomb themselves, but I think we would still hold the dealer partly responsible for supplying the tool.
Likewise, if a buyer buys an illegal good and it is known that, somewhere down the line, people were killed in the process of getting that good to the buyer, the buyer shares responsibility for supplying the motive, money.
