I can confirm that you don't get XP for killing him. We decided to gank him when he wouldn't sell to my bard. He conned dubious, much to my surprise. I then used the faction increasing song on him, thinking I would be able to sell to him, but for some reason, that didn't work. That's when I lost my temper. Bad, bad, goblin merchant! Take that! *WHACK*
You would never get XP off killing any merchants. Also merchants will never con lower than dubious, though your faction could still be at 'ready to attack'. Reason is that merchants should never agro on you. If you increase your initial faction (KoS) with him he would still con dubious .