Nightfall said:
Biggie,
When it comes to being rat bastardly DMing in the Scarred Lands, only I should apply. 
Right.
With that out of the way...
Mr. FreekinGoblinoid,
If you still wished to keep the Penumbral Pentagon inspiration going for you, there's a number of ways their taking the golem, and not trashing Mithril with it, or having Corean intervene, can be explained:
1) The Penumbral Pentagon realizes that, were they to use the Mithril Golem against the city of Mithril itself, chances are, Corean wouldn't put up with that kind of crap, and would come down personally to swat the would-be usurpers of his creation like the gnats they are. However, once they take the golem out of a holy city dedicated to Corean, all bets are off. Much as it might chagrin Corean to see his creation fall into the hands of evil, once it's no longer in a location indisputably under his dominion, stopping it personally might very well be seen as breaking the Divine Truce. The Penumbral Pentagon realizes this, so, much as they might like to bring Mithril to ruin, they realize they'll have to do it indirectly, otherwise, they'll invite Coreans wrath. It's one thing to destroy Corean's city, and one thing to steal Corean's golem, it's another thing entirely to steal Corean's golem for the purpose of destroying Corean's city - particularly since the Penumbral Pentagon aren't exactly protected by any form of faith, such as the Horseman of Vangal, or Cult of the Ancients, would be.
2) While they might be able to usurp control of the golem, the golem might have it ingrained into its construction that it cannot, under any circumstances, intentionally harm any worshippers of Corean. As such, the Penumbral Pentagon might take control of the golem, try to sick it on the city, only to find out that, bugger, it absolutely refuses to obey their commands. That being the case, they order it to leave Mithril, and move to attack Vesh, at which point, it promptly starts heading that way. It might hurt or kill a few people in the process, but, as initially stated - it can't intentionally hurt anybody, but can mistakenly do so. As a side note, if this is the case, if, say, a group of adventurers actually try to take on the Mithril Golem - foolish though that may be - or just end up in its path of destruction, it might be interesting for any paladins or priests of Corean to watch as, one by one, their friends are stepped on, crushed beneath mithral fists, killed left and right, yet the Coreanics are left untouched, watching in horror as everyone else dies around them.
3) After the Mithril finger fell from the golem, perhaps the priests erected a number of safeguards around the city that would protect it should anything else fall from the golem. These apply to the golem, and the golem only, but would be reason enough why it can't just trash the city, as, while the golem actively trying to destroy it wasn't foreseen, the fact that something might happen to it, which causes parts to fall off, was, and now it's paid off, when the golem finds itself repelled from the city proper after the Penumbral Pentagon tries to ravage it.
Also, if the golem were a true extension of Corean's will, chances are, it would have a Lawful Good nature. As is, it seems mainly to be just a divinely crafted construct who was "programmed" by a Lawful Good deity. As such, control could possibly be over-ridden. It would take some gifted individuals indeed, but nothing is to say it couldn't be done. A number of possibilities exist here; perhaps worshippers of Nalthalos aid the Penumbral Pentagon, or act of their own, in the hopes of granting their god, Nalthalos, a better, more powerful body.
Or, of even more delicious evil, perhaps the Lawful Neutral sect of Corean, who see all the evils that occur at their very footsteps, and in the world at large, use the knowledge accumulated about the golem over the past 150 years to take it for their own, the spells Corean grants them allowing them to do this with relative ease. While perhaps their god withdraws his favor from his servants once they take the golem, by then, it's too late - they have the golem at their disposal, to punish all those with an evil heart. From the overly chaotic Veshians, who show little respect for hierarchy and authority, to the coldhearted priests of Hedrada, who have no sense of Corean's mercy (Religion's always been rife with hypocrites, after all), to finally the heart of the beast, Calastia itself, intending, eventually, to storm through the Kelder's and lay waste to the great Chardun-worshipping Hegemony of Virduk's. This would likely come as an added shock to the players when they storm up through the golem, or find out where it's being controlled from, cutting their way through a number of other constructs along the way (because if the Mithril golem can be controlled, those who stole it must have considerable knowledge about golems in general), only to come across not the Penumbral Pentagon, not Nalthalos worshippers, not Titanspawn, Charduni, or any other likely villain, but, instead - half a dozen Coreanic priests, fallen now, to be sure, but priests all the same, who, in their zeal, lost sight of just who and what they believed in. This scenario could be played out a number of ways; perhaps the characters stand there, dumbfounded for a moment, not believing the priests are who they're looking for, only to have the priests attack before the players realize what's what (perhaps even with spells; I'm sure a number of gods would delight in their actions, or, if not delight, perhaps condone them - Chardun, Belsameth and Enkili seem likely prospects, but even Hedrada might realize that their goal of ridding chaos and evil from the world to be a noble one, and therefore, worthy of his blessings). Then again, one could go the redemption route, convincing the priests of how far they've fallen, and trying to bring them back to the light. In either case, there's the possibility for either a hack and slash slugfest, or a role-playing intensive ending (which could still end up with a fight at the end).
As an aside, while a titan waking up would be something, as a player, I wouldn't find a fight between a titan and the golem as exciting as, say, something my character could actively involve himself in. Just keep that in mind; the players should be playing a pivotal role in any final, end battles.
Eee. Heh. However, I suppose none of that really answers your question, now does it? Back on subject...
What would happen if the golem left?
Chaos would reign in the city. The priests would be scrambling to find out what happened, the various mercenary companies employed by the city would be doing their damndest to keep order, and the paladins would be preparing for the inevitable outside threats who would sweep down upon the city like a plague of locusts.
Trade with the city would likely cease; few sane merchants would want to risk going to the city, when barbarians and pirates would likely soon be attacking the city. They also wouldn't want to risk losing their goods to looters.
The church would likely break up into three factions: Those who believe wherever the golem is going, is where Corean needs his servant, and, as such, will consider it a call to duty to accompany the construct. Not so much factionalizing, but a very, very small minority might suspect something's wrong, and follow it on the off chance that they need to try and stop it (impossible though it may seem to them) - again, though, these individuals would be few and far between, up until the golem did something blatantly un-Coreanic. Even then, some might join in on a rampage, if the golem's not being controlled by Corean. Just think how much it will jar your players when they see the golem ripping Mullis Town up from the ground - and seeing Coreans finest butchering the populace in the process, in the mistaken belief that this is what their god wants. And that's only, more or less, one faction.
Another would be busy trying to figure out what the heck went on. They'd be praying for answers from Corean, consulting one text after another about the golem, or anything else that might be helpful, and likely trying to squeeze out as much information out of the city as they can, going to anyone who might know something, anything.
The third, main faction would be those who stick behind and defend the city. They might believe the golem has a good purpose for leaving, and that those looking into why it left will find something useful, but ultimately, this group believes that without the golem, it is now their continuing, most important task, to stay behind to defend the city against the huge number of threats that are likely to come in the next few days, both internal and external.
As said, yeah, looters. Many people would believe that their life may not be so long anymore. If the golem's up, well - what's next? Titans? A war between the gods? To some, it would be seen as a sign of an apocalypse. Many likely would foresee a second war, on the scale of the Divine War, on the horizon. Some might turn to titan worship, feeling that the gods parents will return to punish their children, but more importantly, the mortals who serve them. Others might find stronger, newfound faith. And, as said, others will have a sense of, "Oh, what the hell, maybe the ends near," or, "Heh. This is going to cause a lot of chaos," and loot, pillage, rape, murder, and act on every little whim they normally wouldn't. Perhaps not at first, but it would likely build up to that.
And, of course, the outside threats.
Maybe the Penumbral Pentagon doesn't control the golem. However, what better sign to attack Mithril than the loss of its greatest deterrant to assault?
Horseman of Vangal. Orcs. The Proud. Take your pick. The Plains of Lede are a dangerous place, and one of the only things that has kept Mithril safe is the fear that the various barbaric tribes of the region have that, if they attacked the city directly, the golem would rise up and destroy them utterly. I guarantee that the instant it was known the golem had left the city, at least one, if not all, of the barbarian tribes out on the Plains of Lede, would lay siege to the city the instant they could gather up a large enough army - perhaps even before then, which would still cause all kinds of trouble. A few of the more intelligent leaders would also realize that, with all the problems Mithril is bound to have, that they won't be able to guard the roadways as well anymore, and thus, will take advantage of whatever merchants or travelers are still within the region. Considering how many people will likely flee the city of Mithril after the golem leads, there should be plenty of folk for the barbarians to do with as they please. One of the only thing that might keep Mithril and travelers safe is the fact that few of these tribes likely work together; they'd probably end up butchering each other as much as those from Mithril, should they meet up.
Pirates? Well, of course, as has already been mentioned.
And this very well might send ripples that are felt throughout the entire region. Refugees all over. Barbarian attacks on the rise. A golem roaming the countryside that could stand toe to toe, if only for a second, with a creature given the very literal nick-name of "Mountainshaker."
Hopefully helpful, and rat bastardly enough for you.
Edit: Spelling
