During this quest, I had summoned Lucien only to have him say that he would kill Cicero without question, but he warned me that Sithis would not be happy with it. I read on Wiki that either killing Cicero or sparing his life did not affect the outcome of the quest. So, why the warning?

Perhaps Sithis didn't want to be annoyed by Cicero in the afterlife?

I didn't kill him. He's a hilarious companion, and actually SNEAKS! He is better than most, but not that good.

I killed him because he handled things poorly and he tried to kill me.

From what I can remember, he's that annoying little jester fellow.

If given the chance, I would kill him a hundred times. Hang him until he is on the verge of death, but release him. Rip open his stomach, pull out his intestines, cook it while it is still attached to his body and force him to eat the charred remains of it.

It's possible that Lucien doesn't know what he's talking about. Or that he is lying. He may even be having some kind of little joke at our character's expense.

One thing you have to realize about the Elder Scrolls: the games are full of http://en.wikipedia.org/wiki/Unreliable_narrator. There is sometimes no way to know if you are being told the truth. You cannot trust anything anybody says with complete confidence.

This goes for in-game books, too.