Killing the FE was correct, you did not do something wrong.  As for not getting exp, you should have (I think... damn this abe-normal memory).  Sometimes it is easy to miss the exp gain text, if you have a save at that point you might check your exp amounts before and after the quest. 
btw, killing the FE does give you a bit of a good reputation with the Imps as you will see in some dialogue later on.  
Last edited by Grim; 13/05/04 08:43 PM.