After i had spoken with the Jarls Stuart at Riften (to set her up and make a deal)

I have to intercept a caravan of supplies with Gold and Weapons.

I went to Legate Rikki and she said she had a Imperial Watch out on the road, heres where the problem comes into play

Ive searched all the roads and cant find the caravan nor the imperial watch. And when i do find the imperial watch, they just say "stay out of our business"

I need help, has anyone intercepted the caravan?