if you are playing on high difficulty it might be smart to side with the Alik'r as they can easy kill you. Their story makes more sense anyway.
Last time I sided with her and now I have two reaguards at the gate in Whiterun all the time.
The other mystery is why Huldra at the Banned mare don't have a tail

http://en.wikipedia.org/wiki/Huldra
Not necessarily that difficult. Force shouting is a good way to split them up and pick off a few at a time. Deal with Kematu last.
edit: As for story, I don't know if it's better or not. There are a lot of stories where people made mistakes or rescued the wrong people. It's kind of fun to me if there is a possibility that I was wrong about Saadia, and I get to revisit it later. I don't want to do everything right anyways. It's not a test or anything.... or is it? Heh.
I killed those two lingering redguards later. My character's a bit paranoid.