How exactly would killing Sigyn help Athens's case? Sigyn is loved by Krishna, so it would make resistance all the more fierce. Athens already achieved what they possible could, as far as Sigyn is concerned, by preventing her from returning to the Krishna golem workshop. It doesn't matter if she's dead or alive as long as she can't return there. But if they do execute her, it just means less Krishna citizens/soldiers would give up and would be full of wrath toward Athens. Even Orlando could use the execution of Krishna's (ex-) queen as a piece of propaganda, seeing how Orlando has a woman in the highest political role (whatever high priestess she was, I can't remember anymore). Thinking Krishna would surrender in exchange for a single person is beyond naive, however. They did demand the Assam duplicate princess back, of course, but who knows if that was for real or simply a part of a plot to make her more believable.