Data conceding defeat was a strategy to try to end the program by ending the story. The murder in the street was not Data's main challenge. It was a distraction programmed by Moriarty so he could nab Pulaski.
For the deceitful ending to work they would have had to spell it out that Moriarty intended to play out his character in real life. The way they played it, it seemed like Moriarty was not ruled by his character's criminal programming, so deceiving him would come off more as depriving a sentient being of his right to freedom.
Also I'm really glad they didn't set the precedent that holographic matter could exist for real. That would have been a plot killer in later episodes.