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Most of Hemingway's heroes aspire to the "code hero" as an ideal: courageous, honorable, etc. Given the blatant description of Max and Al as gangsters, and George guessing that Ole must've gotten involved in something in Chicago (Capone), Nick shows his youth and naivete, asking them "What's the idea?" when they tell him to go into the kitchen. This is Nick Adams' introduction to evil.
So, although Nick may have known (prior to this event), what a hero is, this is his introduction of what a hero might be faced with: two men who kill for the sake of killing (and for money, presumably) and Ole's listless passivity in waiting for the inevitable. Nick can't accept that Ole has given up. George and Sam want nothing to do with it. So, Nick's decision to visit Ole is the primary illustration of heroism: Nick is not afraid to get involved.
More important is Nick's bewilderment and maybe disenchantment with the passivity (or nihilism) he observes in George and Sam. This and Ole's despair in surrendering are what prompt him to leave town. Nick is the (learning) hero (aspiring to the "code hero") because he is the only one noticeable affected. He is relatively heroic (relative to the other characters) because he won't/can't accept this kind of senseless violence. Arguable, George, Sam and Ole may be older and know more about the far reach of organized crime; maybe they don't get involved because they're convinced they are powerless. But still, Nick was faced with the same event, he was tied up and the gangsters did subtly threaten to kill them as well. In spite of all this, Nick was the only character who reacted. He tries to help Ole. I don't think he leaves the town because of fear. It seems like he leaves because of George and Sam's indifference.
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