So here's an interesting thing.
This is Saddler's POV when Ashley picks up Leon's gun:
Leon isn't looking at Ashley.
He's looking right at Saddler. And that's the look of a man who's ready to kill.
It's only after the first shot is fired that Leon actually looks at Ashley, and his expression is completely different when he does.
This might sound weird, but this is probably the best showcase of how fundamentally changed Leon is in RE4make from RE2make. In RE2make, his focus would've been Ashley first. He would've been worried about her and scared for himself. Saddler would be an afterthought; Leon can worry about Saddler after both he and Ashley are safe.
That was probably what Krauser was referring to during training when he told Leon that he was too soft to do what's necessary. You know, before Krauser himself went nuts, and the meaning of that statement became something else entirely.
But in RE4make, Leon's first response is rage. It's violence. It's murder. His instinct isn't to save Ashley or protect himself -- it's to kill Saddler.
It's only after it hits him just how stuck he is -- after that first shot is fired -- that the worry starts -- that the regret and heartache kick in.
What Krauser taught Leon -- what he really taught Leon -- was that protecting someone is more than shielding them from harm or pulling them to safety. It's eliminating the threat around them so that they can be safe. Shields can break, and running protects no one.
So, sure, the "being held against my will" thing is the main reason why Leon turns down Ashley's offer at the end of the game -- but it's not the only reason. It's because Leon came to accept, over the course of this mission, that he's not that guy anymore. He can't stand by and be Ashley's guard. The only way he knows how to protect her is by eliminating the threat around her -- and that's not what security detail does.
But that's who Leon's become now. The ship of "serve and protect" has sailed, for him. In his own words: "You've gotta keep moving forward."