You can take anything you want from Sky Haven Temple (including The Blades armor and Dragonbane), but you have to do it at the right time.
It was after
Alduin's Wall was completed, but before
The Throat of the World was completed (in progress). So it would've been flagged as "Stolen"
after The Throat of the World, then...or further along?
I'm fine either way, but I was kinda' looking forward to a caper.

As a note, if you're part of the thieves guild, you can sell it to Tonilla and buy it back. You'll lose some money in this process but that's the price to pay to unflag it.
Oh, yes.

That's how I cleared the flags from all my Dibella Statue's in my chick's houses.

...and a few other things.

Edit:
There is a barrel in Dragonsreach that apparently removes the flag as well. http://www.gamesas.com/topic/1356673-dragonreach-fencers-barrel/
Yeah, I still need to check that barrel out. Beats paying 'fees'.
