That's a good point, but it will take a lot of resources to kill Fain. If too many resources are diverted away from dealing with the Shadow's other plans, it could weaken the Shadow fatally. The Shadow has to play a delicate balancing act with Rand on one side, and all the secondary players (and I count Fain as secondary, because his main importance still derives from how he relates to the actions of the primary player, Rand) on the other.