The girl is supposed to be kidnapped, and then you have a quest to go get her back.
You will not be blamed for the murders of the Knights, if all goes well.
As far as joining the vamps...do so if you are to continue the evil path. The thieves are actually the good path, though you do get to choose to do some evil in their ranks if you like.
It really does not change the outcome, if that is what you want to know.
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