I also played a lot of pen and paper RPG in my time and in the beginning have been an "entertainment sociopath" myself. But especially in RPGs the game master has great opportunities to show the players their consequences. This may be some small comments and rumours the players encounter later on, e.g. the players are asking the innkeeper what's new and the answer is "Haven't you heard?! The was a bunch of bandits slaughtered in cold blood. The guards are looking for the people who could do such a gruesome thing.". Or when they get captured themselves, the bandit overlord might not be as lenient with them, if he somehow learns that it was the players who killed his men (this is especially possible if the players are very open about killing some bandits for example to get celebrated by the town they helped). If they hadn't killed, he might simply spare their lives and only take their possessions. However, this example requires an ongoing story and ideally not too great deviations in locale. One thing, that makes conveying consequences in such groups difficult is, that many groups are travelling all over the land. This is one reason why I currently prefer playing in one big city, where you can have long intrigues and clearly see and feel consequences rather than do your stuff and move on no matter what happened after that.
Another time (I played a thief myself and was "earning" some money) I overheard a conversation in-game, where the people I was stealing from were talking about how they finally got enough money together to get through the winter (which they most likely didn't after I was there). All in all it is possible through small dialogues to convey to the player, that their actions might have consequences. This, however, will only work for people who care for such things.
For the case of TDM this might be possible through journals or conversations to make the AIs more "alive". Give them a name and use the name in said conversations/journals and the guy you just downed was not "Guard 1" but rather "Old Johnny, who will retire next week", which gives them some background and make it easier to empathise. Still, people who think "This is only a game, anyway" will not be affected by it. I agree, that the best stories reach you in more than a "this was a challenging mission" way, but I think it is very difficult to nigh impossible to touch people emotionally that just want to play the game and not think about consequences it might have for the in-game world.
At least for campaigns, you can additionally show the consequences in gameplay (which will make it less empathic,but more systematic) by, for example, increasing the number of guards, because there is a murderer on the loose. Maybe slightly increase guards on places, where there are valuables, because a thief has been spotted in the area. This, on the other hand, depends on how used to thefts and murders the City is (and I think it is quite used to it). Personally I think the City is used to "small murders" like a guy gets robbed and killed rather than a whole mansion of people guards as well as "innocent" people getting slaughtered. The "murders having consequences" was also one thing I liked about Dishonored. With higher chaos you saw the consequences with more rats/weepers. In TDM you can do the same with more or better equipped guards, or more zombies in a graveyard mission (as there are more corpses due to previous murderous behaviour), or something similar.
I am sorry, if this post is a bit unsorted, but I sometimes remembered something that would fit to one paragraph, that worsened the transition to the next paragraph or was more similar to some following thought than I thought...