Hang on, doesn't the quest start with you being asked to follow a guy in and check out an evil house? And then you're told to kill him?
You would have had plenty of opportunities to step out.
You are asked by law enforcement to help clear out a house of Daedra worshipers. Sounded like a good deed.
The Daedra God then asks both of you to kill each other. I do nothing - he tries to kill me, I defend myself. Nothing wrong there.
But then the same quest wants you to lead a guy there to be slain. I tell the guy what is up, that it is a trap from the Daedra God, but he is cocky and goes anyways. He gets trapped. God asks me to kill him. No option to say no. I try to find a way to free him from the cage, but there is no way.
At this point I have 2 choices. Either walk away, leave him in the cage forever and let the quest be half-finished or kill him.
I don't like leaving half-finished quests in my log forever. It's annoying.