First you need to be level 81 to get this quest. He well show up in any city your in. Then you need to go to Last Vigil. This took me 4 days to realize it's not is Solstheim when
all this time he was in Skyrim. Hope this helps everyone to find him.
Haha. Multipule character complex kicked in again today, deleted my current dragonborn warrior and started a new one! I have my level 25 necromage just starting the db and for some reason I fancied a break from an over powered vampire mage. More to the point,
if my MCC stays like this, I doubt i`ll ever see lvl 50. Let alone 81!