Same here, if you kill the guy, while he's sneaking towards his victim with the knife drawn, you will not get a bounty. I never got a bounty for killing him.
Another thing, you can even prevent the NEW murder that happens when you get the court wizard thrown into jail. After you follow up on the clues and your journal tells you to talk to Jorleif, just go and talk to the Court Wizard!

@ uhappynow: LOLOLOL Re-live his life! I like it! hahahaha

Yep. Instead of telling Jorleif that the court wizard is the murderer, tell the court wizard, and this will prevent one murder. You can prevent a second murder by heading to the marketplace and killing the murderer while he has his knife out before he kills his target. So you will have saved two more lives.

to save lokir: setessential 4679a 1
he will run off. the archers will shoot him. he will take a knee, then stand up. archers will shoot him. archers will keep shooting him. you and everyone else watching will stand there indefinitely watching 2 archers shoot lokir for the rest of the game.

roggvir: setessential a3bdb 1
once his head gets cut off, his headless body will stand up, walk to you and shoot blood towards you while his head makes talking animations. i'm kidding of course, if the executioner cuts his head off, he will die, essential or not. if you interrupt the event, he will run away. when the game tries to kill him, he will take a knee and then start meandering about the town once the fight is over. he did not reappear in the town when i came back to it.

I would rather see if you could try and escape, its asked after the poor guy has been killed but you cant try it.

I've used the console to kill both archers in the past, he still drops dead before leaving the area.

I heard that there is a glitch where you can escape Helgen still bound by the hands.

Does anyone know how?