Swamped

Well, knowing that the Rider has a big bounty on his head around here might be a good tidbit to keep in your back pocket in case you need to convince this ne'er-do-well to help you track him down, but for now it seems safer to keep up the act.

Be dismissive of their threats. Intimate that fighting, capturing, and transporting you to redeem a bounty that doesn't exist would just be a waste of both your time. The notion that a marshguard would have the funding to travel out here but not bring a less conspicuous outfit is laughable.

All that said, you could use their help. Ask how familiar they are with the area and the surrounding oases.