When reading Of Mice and Men, it's easy to identify with what George does and feel relief that he's "put Lennie out of his misery."
It's a bit different, though, when one looks objectively, instead of subjectively, at the situation. When one steps back and gets some figurative distance from the situation, it's not so easy to side with what George does.
Lennie is not an old, sick dog. The parallel between Lennie and Candy's dog actually reflects negatively on George's mercy killing. Lennie is a human being.
One has to ask, at what point should George not kill Lennie? How much more mentally able does Lennie need to be, before it becomes wrong for George to do what he does? And who makes that decision?
A novel is easy. We talk about it and know it's not real. But as far as the ethical dilemma itself, the issue isn't so simple.