What happens if you kill Brax?
Shoplifting or otherwise turning Brax hostile will cause him to attack you (obviously) and will also start the spawning of Dread Collector enemies across that level.
Every instance of Brax on the same per floor will react the same way to your misbehaviour - if you steal from a shop on the 3rd level you can expect every Brax on 3rd to turn hostile.
If you manage to kill every Brax on a level, the Dread Collectors will stop spawning, although those that are already present will not disappear.
There is no cross-floor communication and items loose their "stolen" status when you use a stair case, so robbing a store and then moving to the next level should have no long term consequences (unless you try to return to the floor of the theft and will still have to deal with the Dread Collectors).
Information comes from experience and the Brax page on the wiki.