Why does Henry think twice about returning the packet to Wilson? Is he wrong to keep it? Would you?

He does not want to get caught and he feels bad too

Henry doesn't want to remind Wilson about their discussion before the battle the day before. He's afraid that if he brings it up and returns the letters, Wilson will question him also.... he might even ask about Henry's wound. In keeping the letters, Henry felt he had something to hold over him.

He had been possessed of much fear of his friend, for he saw how easily questionings could make holes in his feelings. Lately, he had assured himself that the altered comrade would not tantalize him with a persistent curiousity, but he felt certain that during the first period of leisure his friend would ask him to relate his adventures of the previous day.

He now rejoiced in the possession of a small weapon with which he could prostrate his comrade at the first signs of a cross-examination. He was master. It would now be he who could laugh and shoot the shafts of derision.

The friend had, in a weak hour, spoken with sobs of his own death. He had delivered a melancholy oration previous to his funeral, and had doubtless in the packet of letters, presented various keepsakes to relatives. But he had not died, and thus he had delivered himself into the hands of the youth.