If your players aren't having fun, you're doing it wrong.
Also, in addition to hating being locked up, some folks are allergic to being railroaded, which is what your setup amounted to. "You're approached by the town guards, what do you do? Keep in mind that if your answer is not to go quietly with them, you will have to make up a new character" is not an honest choice to present to a player.
Point taken about them having fun, but I have to disagree they were railroaded. His actions had reasonable and dramatically interesting consequences. True I put him in a tough spot, but he had options beyond go quietly or roll a new character. Any of the things I suggested - trying to bribe them, perhaps talking them off with a Diplomacy check, escaping on foot and hiding until he could investigate on his own - all would have potentially worked with high enough rolls. All I told him was this his plan to flee the town on horseback was likely to be a bad one. And I consulted the other players, none of whom were willing to fight for his innocence should he flee.