Jesse knew how lucky he was. He wasn't that unaware of Fi's, Sam's and even Madeline's capabilities in regards to revenge for what he had done to Michael. He had hardly believed that he had taken the shot in the first place, much less that it had hit and done all of the damage it had.
He hadn't meant to kill Michael, but he knew that intent was hollow at best. It didn't bring him back. It didn't reverse anything that had happened. It didn't get Fi off of his case. She was relentless in her pursuit of him and she had nearly caught him a few weeks back in South Carolina. Had it not been for the help he received, he knew he would have been a dead man then. There was nothing stopping Fi from killing him and he was well aware of this fact.
He wasn't quite sure why he was being helped or what they wanted from him but he understood that when they came to collect it would be a pretty hefty price tag. He was now in Arizona about 1,800 miles away from Fi, or at least he hoped she was still across the country. With her he didn't really know. He had been a fool to underestimate her and what lengths she would go to in order to get revenge for what he had done. For a while it seemed like every time he turned around she was a step behind him, waiting to pounce. He had started mentally calling her "the lioness" whenever he saw her. He just hoped that he didn't become prey.
He had been moved to Arizona recently by the elusive powers that be. Those powers both protected him and held the control over his life at the moment and he wasn't sure how comfortable he felt with either scenario. Granted, Michael had "burned" him and made his life difficult to say the least, but he felt strangely at "home" with Fi, Sam, Madeline and Michael. He wished he had never discovered the truth of his situation. He also wished he hadn't taken that shot that day to take out the man who held Michael. Being let down was a far better situation to be in than being pursued across the country by a woman who was hell bent on revenge.
Jesse tried to make a life for himself here; he had a small house, and was working for a local insurance company with an identity chosen for him by others. In short, he got through day by day by simply existing. By going to work, pushing some paper around, going home making some dinner, going to bed and starting it all over again the next day. He should be grateful to be alive, but somehow that gratitude failed to manifest itself.