He has two big ones.

1. Losing contact with his family back in Russia. When Val was young he was a prick that got caught up in organized crime and lived a very violent lifestyle with the gang he was in. His family of course didn't approve of this so they had a bad falling out. Val left home pretty early to dedicate himself fully to organized crime. When he left Russia, he never got the chance to say goodbye or make amends with them. It's one of those things he regrets more as time goes on.

2. One of the people he was sent to kill when he was in organized crime was a man that flipped and betrayed the family. After tracking him down, he was able to fulfill the hit, but the guy's young daughter witnessed the killing and the girl was devastated. He felt extremely guilty about it because he didn't want to traumatize a kid, he doesn't like to think about the families of the people he killed. It was eye opening and he still has regrets about it. It really changed his perspective on his lifestyle. He doesn't like to talk about it.