It's obvious they are hired thugs, or mercs. They attack you because that is a private place of theirs. Think about, if you sister entered your room when you didn't permit it. Wouldn't you take action?
Odd as it seems but those caves, and forts are the homes of these bandit A-holes. You just don't let a stranger into your house do you? Maybe the Redguards are just staying there temporarily because weren't they in Rorikstead before?
I just do it the quickest way; talk to the Alik'r, talk so Saadia, run after the Alik'r or catch them buy horse (they should be only a bit outside Whitrun city now), run back to Saadie, tell her to follow you to the stables and BAM, the quest done in 10 minutes.
Personally I prefer Kematu anyway, so yeh.
I think Kematu is telling the truth - they don't hurt Saadia when they get her, they just immobilize her and tell you that they're taking her back for trial. If they were lying, they'd just kill her and get the bounty.
That being said, most of my characters don't turn her in, because I play mostly women who might have had bounty hunters on their trail at one point or another, and they have no way of finding out whether Kematu is wrong or right. My guiding principle is that all women are sisters until proven otherwise.
I always pick Saadia. I am (for the most part) a Thalmor loyalist and if she is working with or for the Thalmor then my loyalties lie with Saadia before Kematu. Plus I love the epic fight you have with him and all his men, one against what.. eight nine? So satisfying and a test of your combat skills.