Why would sociopath think that being sociopath is bad or wrong? They could very well think that it is what makes them better than others. If they lack remorse they can admit that they are sociopaths without any remorse or regret.
Because they understand that being a sociopath is considered to be 'bad' by the society. What's so difficult to understand? Liars and pretty everybody also think that being good at lying is an advantage but admitting to being a liar is simply a bad tactic