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He regrets many things in his long life. He regrets trusting his father's killer. He regrets that his father's killer was somebody that was both family and betrayer. He regrets making the pact with the Weird Sisters that has seemingly prolonged this all to eternal existance. He regrets allowing the son of his father's killer to live, ultimately coming back destroy all that he had known.
Mostly though, MacBeth regrets not killing Demona every chance he got.