To be perfectly honest, a few stupid last statements really wont hurt anyone. There was clearly not enough blood going to the man's brain, he kept talking about a bat-man and butter.
As for the nasty ones...don't know. I suppose that is where the honour/prestige fine could come in. I have not heard that many nasty statements from players in the game right now, I doubt that would increase much with final words.
The final words would be sent to the player's realm for a death in battle, and would also be sent to the captor's realm when executed?