I think now a days what makes a story stand above the rest is when you can truly make your audience understand emotion, and not just any simple emotion as in good guy is the white knight in shinning armor and bad guy is thief in black, color is always a strong representation of emotion and should be used wisely but alot of times I see it simply is used to show the audience the most basic form of emotion, the most basic form of good and bad, and that's quite frankly isn't reality.
Which in turn brings in the disconnect from audience to story, a lot of the time the audience has seen this story before, there's a problem, the good guy who is always ''good'' always makes the ''right'' decision and or always has a supportive cast of minor characters that help the ''good guy'' into the ''right'' direction;the bad guy who is always ''bad'' always is motivated to do ''bad'' things and always makes ''bad'' decisions, eventually and always the good guy always beats the bad guy and the problem is always solved by the power of ''good''
Life is never ever this simple, and this format may work for fairy tale stories and honestly the most basic story telling method, but it never makes a story stand above the rest, if you really want to make a story people won't forget, you should be brave and break that format that people are so used to and instead make the bad guy seem like the good guy, make the audience understand his or hers motives, make it interesting, make the good guy feel conflicted about their choices, make their choices hard and make their choices cause lasting and damning effects around them, make the good guy feel bad or leaning towards evil, infact make it so hard to tell the difference between the good guy and the bad guy in a story that the audience stops seeing it as that ''good'' and ''bad'' and just as characters they can relate with because that's what life is for people many shades of grey, it is never as simple as black and white.
So yes, it's okay to let the ''bad'' guy get away, sometimes it's even better if the ''bad'' guy wins.