Dutch sees himself not as a criminal, but as a man fighting back against a corrupt system of power. Earlier in his life, Dutch had a vision of turning the West into a kind of savage utopia; that, if he spilled enough blood, he could change the way people think.
Like okay sure, cowboy gunslinger simulator. Just put a guy in here that I don't agree with but who is nevertheless cool as hell, why dontcha.
@lyncia apparently they didn't do all that much killing prior to the events of the game (Blackwater being the major exception) and that shift isn't weighing well on some of the members of the crew
so if all he did was steal money from rich assholes then I say he definitely was cool