I think that he quite simply couldn't leave. His belief system centres around the fact that if he leaves Sammy, Sam will get hurt. I think that is true on some deep internal level, even if Dean couldn't articulate it in that way. Going right back the shtriga episode, which I think is probably just the tip of the iceberg.

He just couldn't turn around and walk out that door - he can't leave Sam. When he says in another episode "I'd rather die" (than kill you) I think that's the literal truth. I think if Dean is contemplating suicide in this episode, it's only in the sense of "Death by Sammy". If Sam turns evil, Dean would rather die than a. be alone, or b. kill Sam. Even for the safety of the world. I seriously think that Dean wouldn't care (as we see in AHBL2).

If the world kills Sam, or turns him evil, then screw the world.