Applied patch 1.4 (2.0.3 on PS3) and paid off bounty in Markarth. So it seems that this bug has been finally fixed.

I got this bug too. I murder a lot of soldier in Markarth but finally paid my debt to the soldier collecting bounty outside of Markarth.
But nothing happen, the soldier want me to go to jail. I don't want to since it reduce skill.
What can I do.
Everytime I go to Markarth, I must kill every soldier then do my animal hunting quest (as example).