Can’t finish building the house

It is worth noting that when you get the 'Bounty Removed' message, it is accompanied with a value of how much bounty was removed. If the bounty removed is lower than the bounty you gained from killing everybody then you will still have a bounty with that hold - which would explain why the guards still come after you.

Also keep in mind there are some known 'issues' with the way Bounties work;

• Friendly fire on an ally such as Imperial Soldier or Guard raises bounty.

• Bounties can be accrued even if witnesses are not present. Sometimes chickens, dogs, and other wild animals can be witnesses to a crime as they are considered entities.

• Guards will sometimes attack criminals even if the crime was unseen and no bounty was placed. They will not give the option of yielding. Sometimes only a few guards will attack, while the rest go about their normal business.

I have found that building no more than 1 object per second eliminates virtually all bugs associated with items not showing up. I would suggest making a hard save, reloading to the previous save, quickly buying a plot and building a house bearing my advice in mind.