I suspect they would have only killed her if they could gain from her death ... Certainly what you outline is plausible, but it seems less likely to me as in the other encounters with the 'Finns they have been very deliberate in their actions. They hung Mat knowing full well that he would survive and eventually return to them, they gave Moiraine answers to questions also knowing she would return. Why kill Lanfear with no potential gain for them?

Perhaps her relationship to the Shadow is a factor as Moiraine pointed out in TSR questions related to the Shadow could have drastic reactions. But like I said ... Doesn't seem like a plot point that is particularly important unless Moridin got other things from the 'Finns as part of the deal.