Recently i have created an Altmer mage whom I decided would be a high ranking mage but turn to the darker arts as a result of his immense lust for gold. I was committing my first murder (which was against the Red Diamond Jewelry owner) when I realized that there was a bounty on my head. I tried it again in sneak mode where he could not see me and still a bounty was on my head (for assault). Will it be impossible for me to create a bounty free mage-assassin or is this just a bug I encountered?

There are ways of killing without getting a bounty

http://www.uesp.net/wiki/Oblivion:Enchanting#Cursed_Enchantments