Far Cry 6 has few decisions that actually make a difference, but killing Sean McKay is one of those decisions. However, the difference that it makes is arguably very small. To put it simply, however you decide to treat McKay is not going to impact the ending of your game at all.
After getting onto McKay's escape boat during the 'Deported' operation and meeting with him, Juan Cortez will be on the phone with McKay. He will advise you that they've made a deal in which if you let him live, he will essentially pay you off. You are then left to roam free and the operation objective will tell you to leave, but with your gun in hand, you have every option to kill McKay if you feel that way inclined.
So, without further ado, here's what happens when you kill the infamous Yanqui, and when you let him live.
What Happens if You Kill McKay?
If you decide to kill McKay (we did), you will be awarded new wrist gear. This wrist gear is called 'Canadians, what?' and will help you to acquire more pesos from enemies provided that you kill them using poison. It's up to you if you think that's useful at all.
It should also be known that if you let McKay live, there is no other way to unlock this piece of wrist gear.
What Happens if You Let McKay Live?
If you decide to let McKay live and get off the boat without any further trouble, you will be awarded 5,000 pesos after the operation is completed. You can, however, still feel free to shoot McKay once or twice in the leg and let him writhe in pain for a bit before you leave the boat, but this has no impact on the outcome of your operation.
There you have it, killing McKay grants you some gear (and perhaps some satisfaction that the villain is dead), while letting him live acquires you some pesos. Considering you'll likely earn plenty of pesos during your playthrough of Far Cry 6, we recommend just killing McKay. That's what Dani Rojas would really do, right?
You'll be approaching the end of your story in Yara soon, so with that in mind, here are some other things you can do outside of the main story to continue having fun in Yara long after you defeat Anton Castillo.