In the last episode, Walt broke into his own house and in this one he stays, even when Skyler comes home and calls the cops. Walt’s been consistent on this–he cares more about getting his family back more than he cares about getting turned in, that if he doesn’t have his family, it’s all been for nothing.
Walt says to Skyler in their talk later in the episode that he’s made sacrifices. At first, it seems a little disingenuous. What has he really sacrificed? Yeah he’s gone through hard times, but overall, he’s been the one causing harm, killing, lying, and sometimes he has thoroughly enjoyed being Heisenberg. But I do think that in doing these things, Walt chose to sacrifice pieces of his soul. He’s sacrificed his conscience. His ability to truly believe he’s not the bad guy. He has to know, every day, that he let a girl die, a girl who the person that’s like a son to him loved more than anything. As Walt says, he has to live with the choices he’s made. It might not be the same kind of cost others have had to pay or suffer, but it’s still something.