Winnie has a strong sense of what's right and wrong, so she knows that Mae did a bad thing in killing the man in the yellow suit, even if he was a mean-spirited man. One can understand, then, why she's somewhat guilty about helping spring Mae from jail.
At the same time, Winnie cares deeply about the Tucks. They're like a second family to her and she'd never want to do anything to hurt any of them. Mae can't be killed, of course, but she can still be hurt.
Once the authorities realize that they can't hang Mae, no matter how hard they try, then the secret of the Tucks' immortality will be revealed to the world. This will have a devastating impact on the Tucks and their spring of everlasting youth, and Winnie can't let that happen.