Killing her was rescuing her, in a way. Once dead the DO could recycle her soul into a new body. I think Moridin tricked the 'Finns - made a bargain to see Lanfear and be allowed to leave unharmed. He then killed her, and the 'Finns had no choice but to let him go. I presume this is because the price for her release would have been too high.
The Shadow being the Shadow, a penny might have been too high, especially when they could get her back for free. I wouldn't have called it "rescue" so much as "recoup" or "recover", either of which has more of a connotation of taking possession of a lost asset, while "rescue" suggests concern for the well-being of the subject.
“Tolerance is the virtue of the man without convictions.” GK Chesteron
Inde muagdhe Aes Sedai misain ye!
Deus Vult!
*MySmiley*