Yeah, I think I've got that part figured out. I'm guessing Jay is a legitimate honest-to-god sadist, but his insistence that he's "a good guy" has forced him to rationalise his sadism into two more socially acceptable forms ; a preoccupation with heroic combat, and a fetish for sexual sadism. Jay is obviously not a hero, nor is he really a fighter. He doesn't want to kill the enemies of his country out of a sense of patriotism, he doesn't want to police the streets to defend the helpless out of a sense of justice, and he doesn't even want to scrap in bars for the thrill of a good brawl. He just wants to hurt people. Occupations such as soldier, police, prison guards, bouncers, etc. that are expected to occasionally hurt certain people for the greater good of society are always attractive to sadists and bullies who consider themselves good people.
I think the sexual sadism is the same. There's nothing morally wrong or sick about liking a bit of slap and tickle with a consenting partner, so Jay's probably convinced himself that his darker urges are just that. A fetish for BDSM. But I don't think he actually gets off to it, sexually. I think he just wants to see himself as a bondage-loving soldier, because otherwise he'd have to admit to himself that he really just wants to stab people and watch them suffer and die at his hands because it quiets the crippling insecurities he has about his sense of masculine potency and his significance as a person. If he ever realises and accepts the truth about himself, I'd expect the neighbours pets will start disappearing. And God help their children.