When I asked the Greybeards about they have any words for me, the sent me to Kilkreath ruins. But when I walked over to the wall, the music starts but I CAN'T get the dragon shout.. is it a bug?

Yeah, I had the same one. I'm playing in German, but if you go to "Frostgipfel" (perhaps "Frost Peak" in english...dunno) it should update. I suppose they got some location ids mixed there.