The captain makes this statement at the very end of "Just Lather, That's All," and it suggests that killing people causes psychological suffering, even if it doesn't look like it does. While the captain does not elaborate on this statement, it implies that killing a person causes feelings, like remorse and regret, and that those feelings, over time, may cause an aversion to committing extreme acts of violence.
Arguably, Torres does not elaborate on this statement because he does not want to appear weak or damaged in the barber's eyes. He has a fierce and violent reputation to maintain and, therefore, cannot reveal his true feelings.
This statement is significant because it contrasts with the barber's impression of the captain at the beginning of the story when he is portrayed as a cold-blooded killer, capable of conjuring up all manner of gruesome deaths.