I notice that when it gives you the option to check location on the map, there isn't always one. This is mostly for misc quests...I'm quite a hardcoe RPG gamer anyway and I'm used to no markers, but it would be nice to remember who gave me the quest and what it's about at a later date, which you can't.
You do have to tick the quests over to active in order for the markers to show up. I will make them all active to see what's closest and then remove the active status to just leave up the one I decide to work on.
I was having trouble with this myself last night.I thought the compass in FONV was much easier to follow.It's taking me a long time getting used to all the controls.