It was the KKK story, yes. In another story, Holmes predicts confidently to Watson that one day Britain & America will not only be allies, but will re-unify. It seems strange to me that he would enable a crime on the grounds of non-interference, as the character himself seems to have little respect for the letter of the law and international sovereignty (witness his battle with Moriarty, which crosses Europe). He pursues what he thinks is right - preventing murder and establishing guilt - without concerning himself much about external perception of his actions. I suspect this story is the result of Conan Doyle failing at sticking to canon with his own character. :P