I opted to try the peaceful approach too but had the same issue, the guard at the fort did say it would require a command to release him, maybe you can buy one if you can find a high ranking imperial, but it seems unlikely with the story that they'd let him go.
Maybe the quest is just intended as a slap in the face to wake you up that not everything in this harsh place can be resolved peacefully.
Although if you did want to find an official my best guess would be solitude, I haven't been in the castle yet but that seems to be the main city, most likely for imperials to be pushing papers.
Apparently talking to the guy I mentioned is supposed to do it, however, I'm not following the Empire's allegiance. In fact, I haven't chosen either side yet. So, when I walked into their talk, Tullius doesn't give me any dialogue options to bring it up. I'd join to see, but I don't know if that would mean not being able to join stormcloaks too.