No, such concerns have never been vocalised in any of the Matrix films.
Some background. According to Morpheus, if you die in the Matrix, you die in "real" life:
Neo: [in pain] I thought it wasn't real.
Morpheus: Your mind makes it real.
Neo: If you're killed in the Matrix you die here?
Morpheus: The body
cannot live without the mind.
Morpheus goes one step further and says that the innocents who live their lives, unaware that they are within The Matrix, are their enemy.
The Matrix is a system, Neo. That system is our enemy. But when you're
inside, you look around, what do you see? Businessmen, teachers,
lawyers, carpenters. The very minds of the people we are trying to
save. But until we do, these people are still a part of that system
and that makes them our enemy. You have to understand, most of these
people are not ready to be unplugged. And many of them are so inured,
so hopelessly dependent on the system, that they will fight to protect
It's even confirmed in the canonical comic, An Asset to the System, that these "blue-pills" are normal humans who are dying. A young security guard, with dreams of becoming a police officer, is shot by both an Agent and a "red-pill" and then we briefly see his dead body in reality.
However, despite this, according to Matrix film editor Zach Staenberg's DVD commentary, the guards you see in the iconic 'Lobby Scene' are in fact virtual constructs rather than real people:
"And one thing, the one thing that I find pretty interesting about
this scene is that, um, nobody actually dies. That all these people
are virtual. Which is the wild thing about this whole movie, that and
is the stuff of, uh, great discussion and that is, if you're killing a
computer construct then is it really violent at all? If it's just an
amorphous computer simulation and a cathartic experience..."
There is some debate among fans if Staenberg's understanding is really the correct one.
Thanks to user Valorum for their research.