I've noticed that this quest has been broken every time I've gotten it.  I receive the quest, and travel to the first location, and nothing happens.  The location disappears, sometimes without the shiny this-is-a-quest-tile marker going away.

I noticed an inconsistency in how it's shown compared to other quests though.  The text of the location is in bolded white, rather than standard, non-bolded black.  I don't know if that helps.

If you'd like me to provide anything else, debug.err or dxdiag's, or a save, let me know.  I don't have any at present from a game where this has occurred, but I'll work on getting those to you.  I would still have one if I'd remembered during my last game, but unfortunately I already finished it and overwrote the saves.  =\