Even if McCree didn't like the way Blackwatch was going, there was no question any whistle blowing on his part would have been betraying the closest thing to a family he'd since come to know. Deadlock was a den of thieves with little honor among them, and when presented with options, few and shitty that they were, he had to turn his back on them too. Turning his back on Overwatch meant a lot more, however.

"If you don't mind me asking, what happened that day?" The climactic showdown that McCree didn't stick around to see. He's vaguely asking what happened to you, but he wouldn't expect a straight answer even if it asked it straight.