You cannot walk away. You can't. That's the problem. Going into Markarth for the first time, you have absolutely no idea what you're getting into by choosing to help the guy in front of the abandoned house. You're presented with the option to be a good guy, so players who wish to do good are likely going to help him. That's when you get stuck in the house and are forced to defend yourself by killing the guy. But whatever, that's fine. He attacked us, right? We can just accept the fact that Bethesda is throwing absurd curve balls at us like that.
There's nothing absurd about it. You did the right thing, role-playing your paladin to help a guy out, and walked right into a trap that forced ... gasp! ...
moral ambiguity. Just like you see everywhere else in the world.
However.. you're then told someone is basically locked up somewhere, so what do you do? Maybe you want to make up for killing the guy before? So you go to rescue the man, despite the fact that Molag Bal pretty much wants to torture him. And hey, even if you tell him that upon releasing him, off he goes to visit Molag Bal's shrine. Yeah, I'm a good guy and I'm going to let someone walk to their death and simply look the other way, right? Because that's all Bethesda is allowing me to do. Your only two options are to be directly evil or indirectly evil.
I don't see the problem. The guy is an idiot. You freed him, and now he's going to use that freedom to go do something you disapprove of. So what are you going to do about it? Kill him? Hog tie him? Convert him from 50 years of worshiping Daedra with a few well-placed Speech checks?
And again - you absolutely do not have to talk him into going back to the shrine. That was your choice. Which way did you do it, by the way? Did you lie and say you were a servant of Boethiah? Did you intimidate him with the power of Molag Bal? Did you simply bribe him to go back? Or did you kill all his captors, set him free, and walk away like a nice guy might have?
Come to think of it, how do you feel about killing a dozen people you knew nothing about to rescue an evil http://www.uesp.net/wiki/Lore:Boethiah worshiper? Who told you you had to do that? Oh right, your pal Molag Bal.
You're the Dragonborn. You're favored by Akatosh. You actually possess an Elder Scroll at one point in time. You slay dragons and absorb their souls, granting you unfathomable power. .. but you can't save one person? You can't go against the wishes of Molag Bal?
Sure you can. Just ... I don't know ...
stop doing every single thing he tells you to do. When you obey his every command, you're playing into his hands. Surprise!
You're saving the entire [censored] plane of existence, and yet you can't defeat one Daedric prince? Or at least rescue a mortal from his evil clutches? Bethesda is basically telling you you're Superman throughout the entire game, yet denying you that power in quite a few situations, molding you into Doctor Doom.
Believe it or not, sometimes even Superman stories have shades of grey. And Superman never beat up Satan that I ever heard of.
I've seen countless people who've been put into situations like that through the entire game. They wish to do good, but only end up getting killed or failing miserably. But hey, we aren't them. We're the main character, so why are we being subjected to all the same things?
So you see a world brimming over with tragedy and ambiguity, yet you expect everything to be all Hello Kitty just for your character? News flash: your character lives in this world, not above it. It doesn't matter how much bonus damage your dragon sword does; bad stuff can happen to you (yes, and
because of you) just like everybody else.