Very interesting, and commendations to your neighbor. That was one of the most memorable and disturbing episodes I've seen. In a world of comforting psychoblab, Carmella's shrink was shockingly direct and judgmental, with a spooky Old-Testament-God quality. As I recalled, he just stared at Carmella and told her that Tony was evil and that if she stayed with Tony she would be evil too.
For the audience, I think the discomfort comes not from a sense of being complicit in Tony's crimes, per se, but from a more basic sense of being complicit in the corruption of the US as a society. As has been abundantly illustrated, we live in a country that, like a mob, gets its way in the world through main force, and one way or another we are, like Carmella, beneficiaries of the exercise of force. Years ago I remember former LBO list member Greg Nowell used the phrase "blood in the bottom of a coffee cup" to illustrate the human cost of commodity production, the unseen brutality that undergirds the pleasures we enjoy as consumers. This is an ugly thing to contemplate for any length of time, and it is to the Sopranos' credit that the show could raise the issue so effectively.
Carl