In Brave New World, why is unorthodoxy worse than murder?

In the context of Brave New World, one must remember that the "World State" does not value individualism. The society does have any laws in place that secure civil liberties or courts that would protect individuals abuse of power from government officials. The people's liberties do not matter and neither do their lives. They are a collective groups of units in castes that work as a whole. The loss one does not effect the whole, but unorthodoxy would affect others and could incite change. Something novel, different, or exciting is not only new, but is dangerous to society that does function on innovation. The society in Brave New World works because it is static. They have found that it works and that the people are satisfied. It is kin to the story that of the people who walk away from Omelas. There is murder, abuse, and pain. However only if you recognize it as injustice and value individuals will you leave.

In chapter 10, the Director tells Henry that "no offense is so heinous as orthodoxy of behaviour" and that "Murder kills only the individual and, after all, what is an individual?" The implication here is that unorthodoxy of behavior has a wider impact than does murder. The Director, gesturing towards rows of test-tubes, microscopes, and incubators, says that "We can make a new (life) with the greatest ease," and thus murder, in the grand scheme of things, is not especially inconvenient. Unorthodoxy of thought, however, as the Director says, "threatens more than the life of an individual; it strikes at Society itself."
Later in chapter 10, the Director makes a public example of Bernard's unorthodox behavior. He accuses Bernard of holding "heretical views on sport and soma," and highlights the "scandalous unorthodoxy of his sex life." This unorthodox behavior, the Director says, makes Bernard "an enemy of Society, a subverter . . . of all Order and Stability, a conspirator against Civilization itself."
In short, unorthodoxy of behavior is worse than murder, from the perspective of the Director, because it has the potential to spread, and infect others. Unorthodoxy also is an indication of the individual's supposed ingratitude, and it raises the possibility that there might be something to be ungrateful for and to rebel against. Unorthodoxy threatens the carefully constructed illusion of the infallibility of the State. The murder of an easily replaceable individual does not.