it's the shrine at the end of Darkfall Passage. There isn't an option there to take water but it lets me go into the Forgotten Vale. I got the 4 after that place and then had to fast travel out and the marker led me back to the end of Darkfall Passage
I've experienced a glitch similar-ish to your glitch I think. My quest marker said go through a portal to another shrine, when I went through the portal, the quest marker said to go back through the portal I came from and put me in a cycle. It soon enough told me to go the the Glacial Crevice and through it, where the last shrine is. So there's six shrines (actually seven) one in Darkfall Passage, four in the Vale, and one after you go through the Glacial Crevice.