Well, I'd say yes and no to this. If you have a table where the goal is to play heroes, there will always be some tension between expediency and heroism and that's a pretty strong tool to define that heroism. The hero lets the bad guy get away in order to save the innocent, or finds ways not to kill the guardsmen who are just doing their jobs, or sacrifices riches in order to do what is right. Obviously you also need to reward the players for their heroic choices, but having to pick between the easy choice and the right choice is a fine tool for that kind of game. Without it the players don't actually get to choose to be heroes and aren't as well defined by their actions. If being a hero were easy more people would do it.
Ravenloft is a great example of this actually. The forces of evil in Ravenloft are, generally, actively trying to corrupt the heroes and work against them. The background is super dark, and both evil and not-my-problem-ism are rampant. This allows the players to shine all the more brightly, or be eaten by the dark. I think you might enjoy it more than you think. Most of my games have at least a tinge of horror around the edges for this very reason.