Four people excluded from the kill list of Dark Young of Shub-Niggurath In Overlord Season 3 Episode 12, Ainz decides to use the baby goats (Dark Young of Shub-Niggurath) to show his power to the other countries. 


  Begin pursuit, my adorable baby goats!
  
  That's right. There are three... No, four people that you must not kill. Do not hurt those select four!


Who are these people? And why are they excluded from the killing list?
I only know of 3. Not 100% certain, but based on speculation and supporting evidence.

First:

As evidenced by Ainz propositioning Gazef to join him as his subordinate, it can be assumed that he is 1 of the 4 people because he wants Gazef to join him.

Second: 

This one is based on speculation, but presumably the second person is King Ramposa III. The goal is to annex the Re-Estize Kingdom. The country would fall into ruin and chaos if the king were to die at Katze Plains, especially with the disappearance (death) of Prince Barbro, and would hinder Nazarick's ability to take over the country.

Third: Spoiler Alert


   At this point in the story, Princess Renner is already in contact and working with Demiurge and Nazarick. She has asked them not to kill Climb. 


Fourth Possibilities: 

Uncertain. Anybody is free to comment who they think the fourth person is.

Brain: He has met Shalltear and Sebas. While Shalltear didn't even recognize him, maybe Sebas mentioned him to Ainz after the events with the Eight Fingers. Seems unlikely Ainz would see any value in Brain's life as of this moment, but possible.

Marquis Raeven: 
A high ranking noble who currently supports Prince Zanac's claim to the throne. Spoiler Alert.


   As we know, Princess Renner is working with Demiurge and Nazarick, and she is currently working with Prince Zanac, though more likely she is manipulating him, so that he can wed Renner to Climb once he claims the throne. As one of Zanac's most powerful supporters, perhaps Renner asked Ainz to also not kill him, so not to reduce Prince Zanac's influence in the kingdom. Possible, but seems unlikely given that after the events at Katze Plains, Raeven was so traumatized that he abandoned his post and returned to private territory.