The reason why Dean feels guilty because it did not occur to him. At all. If it was a demon, then sure, first thing Dean would want to do other than killing it... would be to exorcise it! But the angel-vessel thing hasn't really clicked in Dean's mind and hearing Jimmy talk about it for the first time and having him totally depressed is in turn, depressing Dean. Because it was something he should have realized, but didn't. It just... made him feel like a terrible person.