If you have an armored troll with you when you return to the Sanctuary at the end of To Kill an Empire, in the Dark Brotherhood questline, the troll will leave your service before you are able to finsih Death Incarnate and leave the Sanctuary. You can keep the troll if you are really fast at getting out of there though, I let all the dialogue run its course without skipping any, and stopped to pick up a few items. If you just skip through the dialogue and run out, you can keep the troll.