I retrieved the proof of ownership for Frost, and also stole Frost (as the quest requires). However, as I was riding Frost through the woods, I was attacked by 2 Frostbite Spiders. I dismounted, killed the spiders, and then turned around only to realize that Frost was gone. I searched the immediate area thinking he just ran a few feet to escape the fight, but he was no where in the area. I went back to the encampment that I originally stole him from to see if he respawned, and he wasn't there either. I also checked the stable from the last major town I was in thinking that maybe he reappeared there, but nothing.

Anyone hear of this happening before?