That very much depends on the path you've taken.What am I missing?
I think if you first sneak in to free Katherine, than sneak out with her without killing Zorad and then sneak back in and kill him, the game doesn't recognize that the Katherine is alreade freed and you cannot exit (I am not 100% sure, since it wasn't my main path, I have just tried to see alternatives and I believe I have encountered such a bug, but I didn't explore it long enough to be sure).
The easiest way to fix it is either to approach Zorad immediately after freeing Katherine (i. e. without getting her back home) or alternatively make the guards see you when you get back to the fortress after taking Katherine home.