So I did this quest yesterday. Went through all the motion of investigating (Margaret's room, etc) then went back to the Shrine of Talos where the guards were waiting for me. Instead of letting them take me to Cidna mine I decided to fight them off.
Everytime a guard tried to arrest me I tried using my Thieves Guild influence (not to mention the Amulet of Articulation and the bribe perk in speech) and they kept saying they dont care who I am.
Now my question is since the quest is over at this point (shows up in the greyed out section of completed quests), will I have to let them arrest me because I cant pay off any bounty? I racked up a pretty hefty bounty as well. It doesnt really matter because I hate Markarth and have no intentions of returning.