Eliminating the Infernals or causing them to defect has the same end-result; denying the Ebon Dragon information about Nilul. Elimination has a 150,000XP bonus attached to it and is, arguably, a bit safer. However, there are other stronger advantages to convincing them to defect, which is why it does not garner an XP incentive.
1. Ayala is a Solar-level Sorcerer and thus a strategic asset. She could save Ulyssian hundreds of thousands of XP to use elsewhere. Or if he does go with Sorcery, she can help with training times by being a mentor. She can also be places he can not, meaning the highest level of sorcery couldd be employed in two places at once to aid his cause. She can help stack Workings. She is incredibly valuable.
2. Fei Ling is a Solar-level Assassin and thus a strategic asset. Assassination is a very viable way to manipulate politics and the circumstances of the outbreak of civil war in the Realm. She can also be places that Ulyssian is not, so he does not have to carry out every assassination by himself.
3. Killing them denies the Infernals information about Nilul. Swaying them to our side lets us send false information to the Infernals about Nilul. It involves lying to the Ebon Dragon, which is an epic Odysseus-tier achievement, but we could send him off on a wild goose chase in, say, An Teng. Or the furthest West, or wherever. Funkspiel, as it were. We can also hide their reasons for defection later on and, again, send other Infernals off on a wild goose chase, further damaging the progress of the Reclamation.
4. Killing them means the Yozis have to train two new Infernals. Swaying them to our cause means they indefinitely lose 2 out of their mere 50 Exalted; and their powers are added to our powerbase, greatly increasing the relative loss to the Reclamation.
5. Interrogating Ayala and Fei Ling will shed light on Yozi objectives and actions in the Realm, which is the kind of information needed to anticipate their plots and roll them up. Information about Yozi activities would also be a potential card to play in negotiations with Annys Syn and the Bronze Faction.
6. Nilul isn't even asking us to kill them. Do we want Ulyssian to start solving all his problems through expedient murder? I thought we didn't want that? If we want Ulyssian to be less Heartless than Odyssial, then he should act that way. And we need Presence Charms anyway if we are going to convince people, and Odysseus was certainly a convincing fellow.
7. In the short term, Ulyssian is not going to be in a position to guarantee Zao's security. Predictionism used for the Academy will help but not guarantee. Having two completely unknown Solar-tier combatants at the Academy that our various enemies can't possibly anticipate will greatly improve the chances of Zao living through any kind of attack on the Academy or supernatural assassination attempt.
We've taken very ill-advised risky actions before for dubious gain. Fighting the Sworn Brotherhood when Zao could have just ordered them away was one case. It certainly hasn't done anything to stop Anys Syn from wanting payback, diminished her influence over the Immaculate Order, and it exposed Ulyssian's power level to her. Nor is it clear beating them has greatly increased Ulyssian's freedom of action in the Realm.
The risk is less here due to existing write-ins and the fallback of combat being an option; and the gains are clear and utterly overwhelming compared to just assassinating them, which is why Assassination has that XP bonus. Let's take a chance here, too.
