Being a thief is being a thief. It doesn't matter if you choose to kill or not to kill... as long as your goals are to steal things. Do you think for a moment that the members of the thieves guild cares for another? Hardly. They're there for one thing and one thing only.....GOLD. Mercer was right about one thing... Nocturnal doesn't care about the dragonborn, the key or anything having to do with the guild.
The thieves guild is what many people accuse of Ulfric being.. Self centered.
A thief is a thief and a murderer is a murderer - yeah, there are some cross-overs, but generally, criminals stick to their fortes. I think for several moments that the TG members care for one another as long as they contribute. It's a syndicate not a bunch of pirates hanging out in Port Royal out for nothing more than themselves.

There's a structure and hierarchy to the TG and if it no longer worked for say Vex she would go out on her own - she wouldn't kill everyone else in the guild.
Nocturnal cares about anyone that can give her what she wants. If the guild worships/honors her then she cares about them. But, yeah, she's not a benevolent diety.

The TG is like any other organization: the primary goal of the organization is to maintain and sometimes grow the organization. The secondary goal is/are the service or services they provide to make them viable/acceptable.