If you have comppeted the main quest he is essential, and thus unkillable. You don't miss out on much though.
Edit _ Not kiling him makes the blades not talk to you, nothing more, killing him makes the graybeards hate you. I chose to let him live, the rebuilding the blades thing isn't much.
Not true. I completed the main quest and killed him after I came back from Sovngarde. This is what I did:
I attacked big P before talking to him so his health was down to nothing (but he won't die, and he won't attack). Initiated conversation and went through the dialog. After we finish talking, big P starts to fly away (after which I think he's gone for good). I then used dragonrend to bring him back down, swiped him once, and got one dead dragon. My blades quest updated and Delplhine is my buddy.
Give that a shot.