Sniper elite introduced non-lethal options because it's always been a knock off shooter, and the stealth shooters in 2014 during Sniper 3's release all had non-lethal. Back when V2 came out, Nazi zombies were a huge deal so they made a Nazi zombies mode. To my knowledge there isn't really any effect on the game other than making it harder, it's a difficulty challenge.
Idk, the sniper elite guys make really fun gameplay loops but can't seem to make anything else. The levels and AI have always been kinda designed like shit.