Shooting Hitler the first time may have changed history in that second version of the universe, but then they overshoot their desired time again and have to go forward to a third (and unchanged) version of the universe. In that version, the Professor misses Hitler and hits Eleanor Roosevelt. Notice, from the episode transcript, that he didn't say he killed her:

Farnsworth: Just slow it down, I'll shoot Hitler out the window. [He takes out his weapon again and aims out the window and shoots.] Darn! I shot Eleanor Roosevelt by mistake.

He just says he shot her. It's possible he just accidentally winged her, since he was shooting while they were still moving. In addition, as other answers mention, with over 1000 years of intervening history filled with drastic and apocalyptic occurrences, the injury (or possible death) of Eleanor Roosevelt may not affect the state of things all that much by the year 3000.

So, why might the Professor be so quick to monkey around with history? It's possible that, with all of his prior experiences with changing history ("Roswell that Ends Well") and time paradoxes (Bender's Big Score), he realizes that time seems to right itself just fine, so why not have fun and live out everyone's time-travel-tyrant-murder fantasy. In the Professor's own words: