Spoilers for your first sequence with the Dark Brotherhood:

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After killing one of the three prisoners, I would really like to be able to free the other two prisoners. Yet all I can do is leave them in the abandoned shack bound and on their knees. Is this a bug or just how it works? Would very much like to free them and possibly encounter them later in the game.

There's no way to free them. It could easily be a bug. But it could also be not. We'd have to see under the hood to know for certain.

They all sounded like pricks. I slew them all.

There is one way to free them, but:
That being said, without doing what is mentioned in the spoiler tag above, there's no way I know of to free the prisoners.

Wow, that's a dreadful disappointment if that's the only way. Thanks for the head's up, though. Hopefully something they amend down the road.

You're joining the most twisted and ruthless group of assassins and you're worried about whether or not Astrid frees the other two innocent pricks you chose not to kill?

I assumed she had contracts on all of them anyway and was just messing with you. Either that, or they were all random people she kidnapped that morning on her way back from getting groceries, and she was just messing with you.

So either after killing one random victim and signing up to work for the woman who kidnapped them, you then want to free the other people she's kidnapped; or, after killing one DB target and signing up to kill more, you want to free two of them. I'm surprised there's even the option to turn against the DB, but logically, that's the only way you'd get to save the captives.

Either way, I also assumed that she kills the leftovers the moment you leave the room. Would she not?

What was really immersion breaking was also...