(TL: The female protagonist in the MIB movie is actually called Dr. Laurel Weaver. But since the author wrote Anna, we're gonna roll with Anna.)
Sheyan already knew by now that there was not much benefit to be gained from killing fragile but extremely important storyline characters like Anna. The realm did not encourage this kind of behaviour.
There were many disadvantages in doing this. The butterfly effect caused by Anna's death would definitely lead to the appearance of the protagonist.
Sheyan could already guess that, with the death of this stunning beauty, the main protagonist, J may very well become involved in the investigation as an officer of the NYPD!
Being an enemy of the protagonist in the Bloody World - a protagonist that was with an official government agency at that - was definitely not a good thing. This could be considered Sheyan's revenge on those who attacked him!