You will get major relationship drop with their friends and I think nothing else.
I killed everyone of the Western Empire and I got a "Honor: Deceitful" but I'm not sure both are related tbh, because I was raiding caravans and doing **** before.
However my game is now softlocked and I can't join any faction because there is no way to make peace with the empire since there is noone alive, but I think they fixed it for minor factions, so kill away