Orwell begins the essay with his narrator explaining his position in particular and the British presence in general: “I was hated by large numbers of people—the only time in my life that I have been important enough for this to happen to me.” Note the tension here between the pleasures of being important and the humiliation of being hated, for this represents the quandary of the imperial ruler. Power has a price. He elaborates a bit later on his attitude toward the job and the special insight it gives him: “ I was all for the Burmese and all against their oppressors, the British. As for the job I was doing, I hated it . . . [because]. . . . [I] could see the dirty work of Empire at close quarters.” First he uses “hate” in the passive voice (he was hated) and then in the active voice (I hated), this providing another example of the tension that is part of imperialism. Finally, the narrator describes himself as a “lead actor,” “absurd puppet,” and says he “wears a mask,” all metaphors suggesting the unauthentic position he occupies as policeman. If he is a puppet, the British Empire is the puppeteer, and he a mindless object performing rather than an human being acting with authenticity.
Orwell feels colonialism creates a situation that debases both sides. Assuming the narrator of his story reflects his personal attitude, we can come to certain conclusions that answer your questions. As a colonial policeman, he must do his duty, but this causes a conflict between his moral beliefs and his official position. He hates how he's treated by the natives, but he understands their resentment of being treated as inferior. This conflict is shown when he shoots the elephant. Officially, it was the right thing to do; morally, he's unable to justify it. To him, the elephant is a victim that suffers as a result of his duty as a colonial policeman.
This conflict then transfers to the bigger picture of what colonialism does to those who rule and those who are ruled. The official duty of those in charge forces them to subject the native people to oppression, no matter how those in power feel morally about their jobs. On the other hand, the natives are victims of oppression and subjected to stereotypical bigotry. They know their treatment is morally wrong, but they are powerless to do anything about it.
Orwell feels that the presence of the British in Burma (now Myramar) is not right. The ambivalent feelings of the protagonist in "Shooting an Elephant" reflect his own experience of being subject to, but not approving of, the Imperial presence. In his essay, "Why I Write," Orwell recounts his Burmese years as an officer in the occupied country:
"First I spent five years in an unsuitable profession (the Indian Imperial Police, in Burma), and then I underwent poverty and the sense of failure. This increased my natural hatred of authority and made me for the first time fully aware of the existence of the working classes, and the job in Burma had given me some understanding of the nature of imperialism...".
Compare this non-fictional account to the beginning of Orwell's story: "In Moulmein, in lower Burma, I was hated by large numbers of people – the only time in my life that I have been important enough for this to happen to me. I was sub-divisional police officer of the town, and in an aimless, petty kind of way anti-European feeling was very bitter."
Both Orwell and his protagonist feel uncomfortable with British rule and are sensitive to the feelings of the native people.