He is dissatisfied with being put in Arena. Of course he wants to have some fun to take his mind off it - and it doesn't really matter that it is at the expense of other prisoners, guards and Roy.
Belkar thinks that he is CE, and says things that CE would say, that much is clear. But he acts CN, and is thus CN. It's just that his Wisdom score is really low, and it is the first for him...His second thoughts were based on not wanting to undergo punishment; he even says as much(in the same strip, even). It's a little like an assassin having second thoughts about whether to carry through when he realizes how alert the target's guards are. This is not morality.
Belkar self-identifies as evil. When he does things that contradict his self-image, he tries to hide them. The fact that he doesn't try to hide his other actions from Roy tells us he doesn't consider them Good.
How is somebody that is standing with a weapon and is making you obey his every order not threatening?The guard is not threatening or attacking Belkar in any way. And no, torturing the guard is not a Good thing, whether Belkar killed him afterward or not.