Well, if you join the thieves guild you get as a reward an extra skillpoint in lockpicking or pickpocketting. So you actually "loose" one skillpoint but you immediatly win one back. If you want to be holier than the pope then I don't think you can solve this quest.
BTW : I confused the assasins-guild with the thieves guild so that was why I never found Penumbra (I was in the wrong dungeons).
And as a last remark : it is really worth it to free this little lady if you like a good spanking from time to time :-))
