Well, as for the ultimate answer as to whether the case you propose (after update 1) is moral or immoral: it will depend on the choice of moral system.
A very popular system these days is consequentialism: the only thing that matters are the consequences. Thus, after update 1, a person who only looks at the consequences of an action to judge its morality will say that the actions of your protagonist are moral: one 'bad' person died, many innocent people lived to continue enjoying their lives, and your protagonist got to experience the joy of killing that he so much desires. Thus, the "utility" in this scenario is greater than the "utility" in the alternative scenario. You are comparing, in other words, the balance of joy in the following two scenarios:
a) One man dies. This is a negative --- yes, he was bad, but he would still enjoy life, especially if he got to blow people up. Also, whatever enjoyment he got out of blowing people up gets lost, so that is another negative. On the other hand, however, your protagonist got to kill someone, and clearly that is a positive amount to add to the joy account; depending on how much joy he derives from killing the bomber, this might even compensate for the joy lost when the bomber died and no longer got around to blow people up. Also, thousands of innocent people got to continue living. Assuming that, on average their life was more enjoyable than not, this contributes a rather large positive amount of joy to the accounting. If, on the other hand, your bomber was specifically targeting sad people whose lives were not worth living (in a lot of consequentialist accounts you can have lives not worth living), then the fact that your bomber doesn't get to blow these people up contributes a large negative balance to the joy account.
b) The bomber lives. The amount of joy that he derives of his life (blowing people up included) gets added to the joy account. Your protagonist doesn't get to kill anyone. The amount of frustration that he experiences because of this lack gets added to the joy account (obviously, as a negative number). And thousands of innocent people get blown up. Again, assuming that their lives were, on average, joyful, this adds a large negative number to the joy account. And the loss and sadness of the relatives and friends of these innocent victims also gets added (if it is loss and sadness --- perhaps some of them are happy with the deaths!) . Assuming that the victims were, on average liked, this adds a very large negative amount to the joy account. If on the other hand, the innocent victims had lives not worth living (in whatever accounting of joy you are using) and, on average, their friends and relatives preferred them dead, then the fact that they were blown up adds a large positive number to the joy accounting.
Anyway, some kind of reckoning like the foregoing must be made if you are a consequentalist. You add up all the joy, subtract all the pain, and see which number comes up higher.
On the other hand, there are other systems of morality out there. For comparison, let's look at a very traditional one. In this traditional one, an action's morality depends on 3 things (and the action must be moral according to all 3 criteria):
1) The action itself. Some actions are automatically immoral.
2) The intentions of the actor.
3) The circumstances surrounding the act --- including possible consequences.
A very brief explanation follows.
As for (1): This very traditional system maintains that there are actions that are automatically immoral, regardless of consequences. For example, to kill an innocent person on purpose would be an immoral act, regardless of consequences or circumstances. In your example, the mad bomber's actions would be immoral given that he is killing innocent people (yes, even if their lives are full of pain and suffering). Your protagonist would not be acting immorally according to this criteria alone, since he is not killing an innocent person.
As for (2): This is where intention comes about. In this traditional system, if an action which is otherwise moral is done with bad intentions, then the action becomes immoral, again regardless of circumstances and consequences. A bloodthirsty desire to kill people is generally considered a bad intention. Thus, in your example above, your protagonist is acting immorally. Yes, even if he ended up saving people by his actions. However, if his intention were to save the people that the mad bomber intended to blow up and for this reason killed him, then his actions would be moral.
As for (3): This is where circumstances and consequences fit in. In this traditional system, if an action is otherwise moral, but is performed in the wrong circumstances or despite foreseeable bad consequences, then the action becomes immoral. For instance, drinking alcohol would not be bad in itself; and it could be done with good intentions (such as enjoying a good cup of wine). But if one drinks a lot of alcohol while or right before driving, then one's drinking become immoral, because one puts other people at danger given one's actions. In your example, your protagonists' actions had good consequences. So your protagonist's actions pass the requirement that consequences & circumstances should not 'spoil' a moral act.
Therefore, in the very traditional moral system I delineated, your protagonist would have acted immorally, since his intentions were immoral --- requirement (2). This very traditional system makes a distinction between the morality of a given act and the consequences of said given act (though the consequences are definitely considered as part of determining the morality of the act). In this system, all the following possibilities can happen: (i) an act can be moral and the consequences of the act good; (ii) an act can be moral, but have terrible consequences --- provided that the bad consequences were not willed and cannot be stopped ---; (iii) an act can be immoral and have beneficial consequences, at least in part --- your example above might be one such example; or (iv) an act can be immoral and have terrible consequences.
And there might be other morality systems out there against which to judge. I am partial to the very traditional one I delineated here myself. Others have different preferences.