I don't think there was a right or wrong ansrew to the 'pledge allegiance to the dark side' question per say, I think the 'wrong' move in regards to it would be trusting any 'aid' or spell that Mogdred/Malice would give to the Dungoneer.
(But from a Personal perspective as a proud Opposition member I don't see why you wouldn't want to be on the Dark side of the spectrum in Knightmare alliances >:-] )
