First, I think you were wise to pursue counseling, and I would give that a bit of time to work. With behavioral/emotional issues, rarely are there quick fixes. So, it's very likely you are already on the right track even though there are issues still happening. Stay in close communication with the counselor, and after a while with that if you don't see improvement, you may want to start considering additional options.

Second, even though you are pursuing counseling to address the deeper issues, it can be helpful to use effective behavioral strategies until/while the deeper issues are addressed. One thing you mentioned is your use of punishment - I'd consider making those punishments occur closer in time to when the behavior occurs. So, instead of taking away Halloween that is several weeks away, take something away within minutes of the behavior occurring. Especially with a child as young as 5, the capacity to connect bad behavior with a punishment that occurs well into the future is substantially limited. Also, you don't have to go as "big" with punishments for them to work. That way, you won't have taken everything away the first time something happens.

Third, I think you're drawing conclusions that are too big for the situation - you mentioned that you are worried if your child has a conscience and that are failing - chances are, since the behaviors have only started happened "lately" as you mentioned, that there is a specific reason why they have started to occur - not that you have epically failed over the course of years, or that there is some fundamental defect with your daughter - it's likely that you are a wonderful mother, and that your child has a strong conscience, but that there is something standing in the way of your child demonstrating great behavior. Once that's addressed, the behavior will hopefully go down.

As I mentioned before, realize that fixing behavior problems can be a marathon - not a sprint - like putting together a 5,000 piece puzzle. Putting 500 pieces together correctly would be great progress, but still far away from the end. Learn to recognize those small steps as the process evolves, and stay focused on the day-to-day progress rather than becoming overwhelmed with how far you have to go. At the same time, though, stay realistic, and if counseling isn't working after a while, stay open to new thoughts and ideas of where to go next. But, for now, it seems like you're on the right course.

Counseling is a great idea!  However, I think that you should have a chat with your child's regular health care provider as well.  A sudden change in a child's behavioral patterns might be related to hormonal disturbances, such as thyroid disease.  Also, night-time accidents, I assume that you mean bedwetting, can be caused by a bladder infection or other health issues.  Your child's health care provider will be able to evaluate your child and treat her as necessary.  

Best regards.