I have a standard sized monitor (1280x1024) so often I just can't FT to Fort Dawnguard. It's just off the map and no scrolling or moving the mouse can get my curser to it.

So anyway I FT to that cave above the waterfall nearby. Well as soon as I do a dragon attacks me. Well I'm not really wanting to be bothered with that right now so I just run straight to the cave taking me to Dayspring Canyon.

... and the dragon follows me. I start running down the path in the canyon and noted a red dot on my HUD. Looked up and sure enough the dragon followed me into the canyon. Had to kill it right there.

Curious if this was a bug or do dragons usually follow you this way if you are going to another outside area or are dragons just supposed to be in the canyon (I assume it's the same one).

Dragons will follow you into a city, so I don't see why they wouldn't follow you into the canyon.