In any interpretation of the Milverton narrative, Milverton has to die. As a ruthless blackmailer, he has too much influence over the rich and powerful to stay in jail for long. In Sherlock, Magnussen’s death becomes even more inevitable once we find out that he memorized all of his blackmail information. Basically, death is the only way to “delete” those files, so in the absence of the woman who killed Milverton in the original story, it does make sense for Sherlock to shoot him. The problem is, there’s another character who would have been far better qualified to shoot Magnussen, and guess what? She’s a woman as well.
In “His Last Vow” we learn that John’s wife Mary is a trained assassin, a fact we discover when she literally has a gun held to Magnussen’s head. But instead of shooting Magnussen and solving everyone’s problems, she decides to shoot Sherlock instead, in the hopes that this will (somehow) help her keep the truth about her past a secret from John. In the end, Sherlock has to do the deed.
This means that Mary, much like Gatiss and Moffat’s interpretation of the lady from “The Adventure of Charles Augustus Magnussen,” has effectively been written out of her own story. Supposedly a deadly assassin, she doesn’t get to confront her blackmailer, and instead is drugged by Sherlock so he and John can have a proper showdown with Magnussen. A dramatic scene that allows Sherlock to seem more badass and morally ambiguous than before, while a heavily pregnant Mary gets to wake up from her drug-induced slumber to discover that she’s now free to go back to being Mrs. Watson once again.