It was never a mistake when someone fell to the Heartless, becoming yet another writhing victim of the darkness. It was survival of the fittest. (Even when the newest was once a six-year-old girl who dreamed of being a dancer and who now shudders and creeps through the waltz of shadows and loses her humanity with every blink of dulled yellow eyes.)
It was never a mistake when one of them fell to the Keyblade, becoming yet another empty space where an animate shell used to exist. It was all part of Xemnas' master plan. (Even when the newest was once sweet, pacifistic Demyx who had tried never to hurt a fly if he could help it and who had been sent away and sacrificed in a vain hope that maybe he could succeed where so many had failed.)
It was never a mistake when another world fell to the Darkness they had unleashed, becoming yet another ruin floating in a sea of so many. It was a necessary sacrifice. (Even when the newest was once a land of peace which wanted only to help others and now drifted through a void and spread corruption wherever it happened to touch.)
It was never a mistake when one of them fell to lighter ideals, becoming yet another traitor in a sea of decay to be hunted down like an animal. It was a predicted annoyance. (Even when the newest was Xion who had been fake just from the beginning and only wanted to be real and who now shivers and backs away from a wall of flames and pleads with her friend to let her go.)
Or maybe it is a mistake after all, all of it (well maybe not the first three because he wanted his heart back too and this was the way to get it, save seeking his Heartless and hoping it wasn't yet dead). But Xion isn't a traitor, because how can you be a traitor if you never really belonged? He does his job once but not again, never again making a mistake (not with Roxas, best friend Roxas who just wants to know who he his and dies in the process).
But it's not a mistake when he appears by Sora's side as the boy is getting overwhelmed by Dusks. It's just wanting to help Roxas. (Even if this finishes declaring his true alliance and he knows, knows, that he can never go back again.)
It's not a mistake when he puts all of himself into his final attack and slowly fades away. It's simple loyalty to his best friend. (Even if this finishes him off and now he's going back to the Nothingness from whence he was spawned.)
That's all of his non-life, really, mistakes that might not be mistakes after all. And an endless cycle of going back (to the Castle that Never Was), not going back (to the Organization, ever again), and finally going back (to the Nothingness' eternal void).
He regrets nothing.