Awesome...How much does that change the story if the Bad guy faction is dead? lol
Caesar's empire will continue on without Caesar himself. It'd take a long time for Legate Lantius to hear about Caesar's demise anyway, and by then, the climactic battle would have happened.
So... It won't actually change the game. However, I'm certain that killing him will drastically change the ending when it comes to the ending slides. I haven't beaten the game yet so I'm just guessing, but that seems highly likely.