I'm in a bit of a dilema here. The moth priest is offering 6000 gold for the three elder scrolls. Is it better left in the hands of the moth priest who will take it to Cyrodil for safe keeping, or should the dragonborn hold on to such artifacts of immense power? I don't need the money by the way.

I'd say keep, but that may lead to troubles for the Dragon-Born later on.
Involving the Thalmor wanting them, and whatnot.

He only takes two. Blood and Sun. Dragon can only be sold to Urag.

Odd, I finished DG quest line as VL and never had the option to sell the scrolls. They are still marked as quest items in my inventory and I can't put them into storage.

I finished the Dawnguard side with my werewolf and can't remove the three from my inventory. Not about to sell them either. Lets see the thalmor just come and try and take them from me. Would like to remove them but not sell them. I remember reading a lot of comments from people all worried they couldn't buy the Dragon scroll back from the mage college.

It's a well known bug. Players who side with the vamps won't get the dialogue from Dexy.

I wonder why, the pisjic order doesn't come for them.

They hold way more powerful artifacts?

If it goes to Cyrodiil the sell of course !