Jimmy had volunteered for this one; it wasn't like he was an innocent bystander caught in the crossfire. He could have done what other passersby did: abandon their blocked cars, hide behind them and wait for the police to take down the suspect, or, as another option, wait for the suspect to take down the police and then flee. But when faced with a scene that started with an explosion and was followed by a gunfight, Jimmy had no intention of completely ignoring the situation. For him, whether it be professional duty or personal morals, ignoring such an incident was not an option.
Fundamentally, Jimmy had his own sense of justice, whether in his past life or in this one.
