
I tried to kill him but the guards didn't like that for some reason. No, I just told him to get lost, and he's waiting for me in the Arena area should I 'need' him again (having both him and a Fire Atronach from the wizard tower following you everywhere got a bit too much).
And regarding the fights, they are a nice challenge. Only level 12 or so when I finished, so I fought a bear and 2 Minotaurs (not lords). Earned me 1800 gold.
The Arena concept in general is a very cool feature, with the announcer and the possibility to bet on games and observe others fight. A shame it isn't possible to fight more than one match a week.