In Red Dead Redemption 2 our choices will affect our level of "honor". Killing innocent people in an unmotivated way almost always causes a lowering of our honor. That is almost not accidental: one player found that to interrupt a ritual of KKK (Ku Klux Klan) will earn you honor; killing its members will not make you lose anything! Not only that: you must commit to kill them to the last to avoid being reported for murder. Look here:

What to say, lin Rockstar he decided not to be racist friendly, giving us the opportunity to shove one by one the hooded infamous of the KKK. If you listen carefully, Arthur will also say phrases like: "I kill you all, bastards " o "Pathetic bags of shit". 
Find the Ku Klux Klan however, it remains one of the most "difficult" activities to do: they do not have a permanent place to spawn and they do not do it that often. Arm yourself with patience, go out at night and scour all the green and wooded areas around cities and population centers.
Once you meet, you will find yourself facing three different scenarios. In the first you will witness the initiation of a new member of the Klan; in the second the KKK will complain about the lack of participation; in the third the members will set fire to a cross. Whatever the occasion, remember: SHOOT.