I have finished dawn guard DLC and had Serana as a follower. I was in solstheim from Dragonborn DLC and parted ways with her. She said she would meet me at dark fall cave, but when I went there to get her back, she wasn't inside or outside the cave. Where can I find her?

Maybe she has not gotten there yet? You may have to use the wait function for a day or two for her to show up.

I've had her say that once or twice, only to find her at Fort Dawnguard (or Castle Volkihar if you sided with the Vampires) is she back at either of those?