Saurfang is too important to the Horde on several fronts to allow him to languish in the Stockades, where he could be tortured for (or mind-controlled into giving) information that he would be privy to as a long-standing veteran Horde commander, the leader of the orcs, and Sylvanas's left hand after her ascension to Warchief as well as his familiarity with all five previous Warchiefs (Blackhand, Doomhammer, Thrall, Garrosh, and Vol'jin). Leaving him there or killing him would cause unrest in the Horde at large, cause outrage among the orcs, and could allow the more outspoken against her reign to ignite another coup attempt.
That being said, of the current Horde leaders he also has the most experience working peacefully with the Alliance, tied with Lor'themar, thanks to the Might of Kalimdor and the Third War before it (Baine's brief friendship with Jaina and Anduin puts him in third place, as Vol'jin is currently busy being a jar of dirt and Thrall is having his midlife crisis, and the only time Sylvanas worked with the Alliance before the Broken Shore, she fed Garithos to Varimathras and some ghouls). He knows a wasteful war when he sees one, even if his loyalty to the Horde dictates he serve the Warchief faithfully and fight for the Horde when the Horde calls for his aid. If he felt he could convince Anduin to back off and get the Alliance out of Horde lands (or lands the Horde decided was theirs for the taking) without losing brave Horde warriors, he'd take the chance--and as Cucultian noted, Saurfang may feel a debt of honor to Anduin, since he was unable to repay Varian for said debt in allowing him to collect his son's body and put him to rest at Icecrown Citadel.