I think there are two main reasons:

1. Michael desperately wanted the Vatican deal to go through. The last thing he needed was to be involved in a Mafia war.

2. Michael realizes that Zasa was a front and that his "true enemy has not yet shown his face." If Zasa is alive, he can lead Michael to his backers. If he's dead, he can't.


"A man in my position cannot afford to be made to look ridiculous!"