If you fight you get a reputation/guard chase/MURDERER!! Blah blah...
If you let them put you in jail (actually the right thing to do...Kinda...Still confused to be honest...) They say "Noone escapes the mines of Chidna" Or something...And the next quest starts instantly...Called "Escape blah-blah mine"...It's confusing...
Aaaamywho...I went back to the shrine of Talos after I escaped, cause, I would...And again, the three guards, same dialogue/choice and "Quest ended message"...
Luckily there's an autosave as you go in, but still...Shouldn't that have stopped as soon as the next quest went active?...
I'm narked cause I want to go in there to pray and all that...
Still, the Temple of Dibella is well worth a look at...

It's not a game ender...But it is there nonetheless...