I'm also thinking, maybe it is a way to somehow redeem Vexx? I mean, yeah, in the process of infiltrating the palace he changed his loyalties, he took liking in the Traveler, Nerissa and her guard (and, probably, had some other friends among the Royal Guard, also). And he had his reasons to work with Zovak, but still he knew from the very beginning what his job is, even before Zovak brainwashed him - to infiltrate the palace, to find the way for Zovak mercs to come and kill the royal family. I mean, yes, the King was a pretty bad man (and a king), but I strongly do believe that violence do not condone more violence. It is absurd. So, yeah, probably that cliffhanger in the end is some type of a... retaliation for Vexx, I guess?