The reason for Heisenberg's visit to Bohr is revealed in the first act after they reminisce about skiing and agree to a walk as in past times. Margrethe had predicted that Heisenberg might want to talk about nuclear fission reactions, but Bohr dismissed the topic as having been fully settled by himself and Wheeler in 1939: uranium 238 takes too long to separate into pure 235 for there to be any practicality of applying fission to weapon making.
Bohr: ... 238 is not only impossible to fission by fast neutrons - it also absorbs them. So, very soon after the chain reaction starts, there aren't enough fast neutrons left to fission the 235. [...] What all this means is that an explosive chain reaction will never occur in natural uranium. To make an explosion you will have to separate out pure 235.
In Germany, Heisenberg's subsequent work on fission revealed that the slow nuclear reaction of uranium 238 would actually produce the new chemical called Plutonium, and Plutonium would accelerate the slow nuclear reaction to a fast nuclear reaction, substituting for 235. The addition of Plutonium to fission made fission applicable to weaponry; to nuclear bombs.
Heisenberg knew himself to be in a moral dilemma and wanted his mentor's and friend's opinion on whether work in physics could be justified if the known result would be complete and utter annihilation of a government's enemies; if the result would be a nuclear bomb. In other words, he longed for advice about the morality of continuing with his work in fission. He longed for this advice so earnestly that he was willing to risk being executed as a traitor if his conversation with Bohr were discovered.
Heisenberg: ... I remember it absolutely clearly, because my life was at stake, and I chose my words very carefully. I simply asked you if as a physicist one had the moral right to work on the practical exploitation of atomic energy. Yes?
Sadly, since Bohr instantly understood the meaning and implications as soon as Heisenberg asked his first question, Heisenberg never received the counsel he craved; Bohr stopped in mid-step and they returned to the house.
Heisenberg: You don't recall, no, because you immediately became alarmed. You stopped dead in your tracks.
Bohr: I was horrified.
Heisenberg: Horrified. Good, you remember that. You stood there gazing at me, horrified. [...] ... at this point you stopped listening The bomb had already gone off inside your head. I realised we were heading back towards the house. Our walk was over. Our one chance to talk had gone forever.