Marco is put in a horrible situation: to save Gus's life, has to take the life of the sleazy reporter. Frye is sleazy, but he certainly does not deserve to die. And Marco, decent to the core, just can't bring himself to do it.
It's not 100% certain that Tate would have revealed Gus's location even had Marco complied - but Marco knows that Tate won't reveal anything except scathing taunting unless Marco does as Tate has requested. Marco as this point is hoping against hope that Gus will be saved, anyway.
And, indeed, Sonya is closing in on Gus's location. But it's a measure of how powerful and unflinching this show is, that she doesn't quite make it. As my wife pointed out, two miraculous rescues - first Marcos's wife and daughters two weeks ago, and now his son Gus this week - would have been unrealistic.
The death of Gus will forever change Marco. It's the kind of terrible transformative moment that separates even superior conventional series from an unconventional series that's flawed. The Bridge was a little slow to get on track, but once it did, about four episodes back, it's been firing on all cylinders.
There are still some potentially deadly loose ends to be tied up, but even if The Bridge had ended this week, it would be one of the most remarkable series ever to have been on television.
See also The Bridge Opens Brooding and Valent ... The Bridge 1.2: A Tale of Two Beds ... The Bridge 1.6: Revelations ... The Bridge 1.7: A Killer and a Reluctant Professor ... The Bridge 1.8: Some Dark Poetic Justice ... The Bridge 1.9: Trade-Off ... The Bridge 1.10: Charlotte's Evolution