One of the morals of the story is that a person can do bad things and not be a bad person.
Jimmy Valentine was a safe cracker, it’s true. When he got out of prison, he wanted to make a better life for himself. A cynical person would think that he fell in love with the banker’s daughter because he was getting close to the bank, but that was not true. He really did love her. He wanted to leave his life of crime behind him.
When his love’s little sister accidentally locked herself in her father’s safe, Jimmy had a choice to make.
"There isn't a man nearer than Little Rock who can open that door," said Mr. Adams, in a shaky voice. "My God! Spencer, what shall we do? That child--she can't stand it long in there. There isn't enough air, and, besides, she'll go into convulsions from fright."
He had vowed not to use his criminal skills or tools any more. Yet he also knew that a little girl would die if he did nothing. Would he risk going back to prison, or the girl’s death? The fact that Jimmy sacrificed his future to save the girl shows that he is fundamentally a good person.
The policeman also has to make a choice. Should he arrest Jimmy, or tell everyone who he really is? He understands the sacrifice Jimmy made, and appreciates it. He sees Jimmy as a good person, and decides to pretend he does not know who he is or what he has done.
The moral of "A Retrieved Reformation" is fairly simple. It can be stated as "Crime does not pay" or as "Honesty is the best policy." When Jimmy falls in love with Annabelle Adams and decides to go straight, his life improves almost miraculously. He becomes a respectable and prosperous businessman, and a pillar of the community. Everybody likes and admires him. He doesn't have to worry about going back to prison. He has become a new man. Most importantly he has found a beautiful and high-principled girl to love. He is welcomed into her whole family. He is happier than he has ever been before in his whole life. He expresses O. Henry's moral in the letter he sends to his old pal.
Say, Billy, I've quit the old business—a year ago. I've got a nice store. I'm making an honest living, and I'm going to marry the finest girl on earth two weeks from now. It's the only life, Billy—the straight one. I wouldn't touch a dollar of another man's money now for a million.
O. Henry was speaking from his heart and from personal experience. He spent several years in prison for embezzlement and associated with countless criminals who were all losers. O. Henry based at least two other short stories on the same moral. They are "After Twenty Years" and "The Ransom of Red Chief." "Silky" Bob in "After Twenty Years" is a successful criminal, but he is always on the lam and doesn't have any friends. Ironically, he travels a thousand miles from Chicago to New York to meet with an old friend he hasn't seen for twenty years. The old friend (also named Jimmy) has become a cop and has Bob arrested because he is wanted by the Chicago police.