Because life isn't a fairy tale. [Spoilers for episode 25]
He knows there are heroes out there, and Roy Mustang is one of them. Hughes is glad to be the sidekick. He doesn't need the glory, he doesn't need the fame, and he doesn't need the pain. He can do more to make the world a better place this way.
And he's not in danger. He's somewhere safe, protected by virtue of being too kind and unimportant to destroy. He takes care of people; he doesn't need to be rescued himself.
He realizes he is wrong when he stares down the barrel of a gun in the worst possible hands. The rules of fairy tales never applied to life at all--not Roy's and not his.
In the second he has left he decides that he does not regret the way he lived. He has known truer love than anything in the stories.