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usually it's thalmor escorting a prisoner for worshiping talos or something like that. I saw 3 imperials doing it for the first time ever. Kinda sucks, I'm fighting for them thinking they were only banning talos but barely enforcing it because it's just part of a treaty that they don't really like.

Anyway, this was near solitude and I decided to follow them to see what they did. They went into solitude and promptly were despawned I assume, since there was nothing inside the city on the other side of the doors ):

The Imperial patrols with a prisoner will say he's a Stormcloak rebel, not a worshiper of Talos, if I'm not mistaken.

Yep. I'm part of the stormcloaks so I always free him, and you're given the option to share items with him when you free him. I always give him a sword or something, but he never uses it. Just punches the imperials then runs away.

I don't know if it really matters if you free them; I've never come across a stormcloak who thanked me for freeing him.