As much as Anderson hated protestants, and other non-catholics, the act of Maxwell playing God, and judging innocent ignorant civillians was something he hated even more, and Maxwell had to die. As seen in the ending, Maxwell, Heinkel the girl with guns, an Yumie the nun with the katana, were all raised by Anderson in his orphanage.
The lines between human and monster might be blurry when it comes to Anderson, but keep in mind, his inhuman strength and regeneration factor, were the result of HUMAN technology and ingenuity. Yes it might cross slightly into non-human territory, but it was achieved by humans, so it's not unreasonable to consider it the same as armor and weapons. Though even his regeneration had limits, and the damage dealt to him was too severe.
In the end, Anderson chose to become a Monster of God, and stabbed his heart with Helena's Nail, one of the nailes that were used to crucify Jesus, making him no different, than Alucard, the monster he wanted to slay.
