"A Mystery of Heroism" is really all about what the title suggests: it looks at what heroism really is and explores how it is a mystery. The story therefore, and the brave (and perhaps reckless) quest of Colllins to bring some water back to his men refers at various stages to what it is to be a hero, and whether Collins himself can be considered to be one:
He wondered why he did not feel some keen agony of fear cutting his sense like a knife. He wondered at this, because human expression had said loudly for centuries that men should feel afraid of certain things, and that all men who did not feel this fear were phenomena--heroes.
Collins goes on to think himself a hero before stating that he cannot be a hero because of various misdemeanours he has committed in his life. The text therefore presents us with various assumptions of what it is to be a hero, but of course, the narrative as a whole undercuts them. Collins, in spite of his somewhat dubious past, shows himself to be a hero through the way that he provides water to a dying man without thinking about his own safety. Even though that man is already dying, and the end result of the trip of Collins has no impact whatsoever on the war, as the water is spilt, Collins has been heroic. Little, seemingly inconsequential actions can therefore be considered to be heroic, even if they have negligible impact.