First, the phone was down (this was explained to his parents as they were leaving). And when the phone was up and running again for the local area, it was after he accidentally stolen the toothbrush in his panicked running from the store after being scared by Old Man Marley, which lead him to believe that if he called the police, they were gonna arrest him for theft (hence the line, "I'm a criminal." as he's on his way home before he runs into Marv and Harry after they broke into the next door neighbor's house).
For the second film, he had a damn good reason to do what he did: He was doing it for the kids at the children hospital. The money that Duncan's Toy Store was saving up was to be donated to the children's hospital, to kids who couldn't be home for Christmas. He all but says it before he begins to run to his aunt and uncle's house to set up the plan. And he couldn't got to the NYPD either because, again, he thought the police was gonna arrest him (he technically committed credit card fraud, which thanks to what happened at the Plaza, he probably thought the police wouldn't bother to listen to him anyway).
In the first film, it could be justified that he was protecting his home, making what he does an act of self-interest. In the second film, he literally puts himself in harms way in order to get the money back for the children's hospital, making it an act of selflessness. It's character growth. He's not torturing Harry and Marv. He's stopping two criminals both times in situations where he thought he couldn't go to the police both times.