When I first started Dawnguard(right after a guard talked to me) a master vampire spawned in Whiterun and killed Belethor and the woman who works at the weapons shop. I reloaded my save and it hasnt happened since, so was this a bug or is it supposed to happen?

That's supposed to happen. Vampires attack towns now. It's basically a new random encounter.

Ok thanks,guess i'll have to keep on my toes.