I was wondering the same thing. I actually saved before doing the quest, chose the first option (something about Cesara, I don't remember the wording), and got 0 XP and 0 fame. I then quit and reloaded the save, and this time chose the 2nd option, like you did, and got the same results as you. So maybe all 3 options result in nothing immediate, but something later on? Or maybe it's broken. I don't know.