Searching for a good spot to spend the night, I found the Khajiit tents, just outside of Whiterun. They were ... empty.
I could take what was inside the tents, there was no "steal" tag. I ran outside and searched for them (I was thinking they might have been attacked and maybe they could need my help) but I didn't find anyone. I returned and slept in one of their beds.
At 11 am, I entered Whiterun, and needless to say, the vampires attacked and killed Sigurd (I think it svcks that they attack in broad daylight, it happens to me so often I am not sure if avoiding the cities at night helps after all).
Oh well - but where are the Khajiit??? Could they have been killed during their travels? Then why are their tents outside Whiterun? Hmmm :/