Why do jem and scout feel guilty when Mr. Avery tell them that children who disobey parents smoke cigarettes and make war on each other can cause a change in the season?

Jem and Scout feel guilty because they realize that their actions and disobedience might have contributed to Mr. Avery's quirky superstitions. They feel responsible for potentially upsetting him and causing him to believe such illogical things. Additionally, they may feel remorse for not understanding the effects of their actions on others until that moment.