Its rather bad that i cant sell stolen stuff in another hold..
I want to create a thief that does not have to belong to the thief's guild and be "forced" to do their quest's.

Since each hold tracks their own bounty.. I should be able to sell in another hold

You can, if you get your speech high enough and then invest in merchants and selling them your stolen goods.

But you can't without high speech. Sorry :L

You could just do the thieves guild stuff and pretend you didn't?

Oh i didnt think the "sell anything to any merchant" was regarding stolen stuff as well.. I thought it was more like sell a sword to an alchemist