What is the value of keeping epic or legendary orcs alive as followers?

In addition to having better stats than conventional captains. Epic captains receive an "Epic Trait" that shows up in red when you look at the captain's details. Legendary captains receive 2 Epic Traits. Epic & Legendary captains can be a valuable tool in defending your fortresses, either to boost your rank in online conquest or to deal with the Act 4 quest line.

As to killing these guys, Death threats on normal Captains seems to provide similar rewards to the slaughter of an Epic captain. And online Vendettas have been, for me, an excellent source of Legendary gear. Also, if you do the daily challenges, you'll make a decent income of Gold, which can be turned in for chests. Another fine source of Legendary captains or gear.

Edit: Now that they're getting rid of the Market, Gold is leaving the picture. Instead many quests just give you the chest directly. Just simpler.