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"I did not betray Mr. Kurtz - it was ordered I should never betray him—it was written I should be loyal to the nightmare of my choice." (3.25)
Marlow knows that Kurtz is corrupt, but stays loyal to him anyway. Between the two evils of the Company and Kurtz, he decides to hang with the lesser evil.
"A black figure stood up, strode on long black legs, waving long black arms, across the glow. It had horns - antelope horns, I think - on its head. Some sorcerer, some witch-man, no doubt: it looked fiendlike enough." (3.28)
Blackness, horns, and a fire-illuminated silhouette? Yeah, we'll pass, thanks.
"This clearly was not a case for fisticuffs, even apart from the very natural aversion I had to beat that Shadow - this wandering and tormented thing. 'You will be lost,' I said - 'utterly lost.' One gets sometimes such a flash of inspiration, you know." (3.28)
Kurtz is a "Shadow," a "wandering and tormented" soul that will be "lost" if he escapes into the wilderness. And this isn't just any kind of lost—it's lost physically, psychologically, and morally. (You know why they say about men never asking for directions.)