It would be nice if they went the Assasin's creed route and marke possible side missions on your map if you are in a certain proximity of the mission. this would force the player to actually explore dunwall more so
But then again, Dishonored is a sandbox, AC is more free roam, it would almost make it too easy if they marked it on your map, perhaps they should mark it if you're like a house or a small block away, but that would be it imo. Else it would, in my opinion, seem too easy to explore everything.
But yeah a good idea marking it, IF it's a real close proximity ^^