He may be stuck inside the building. Try doing the bowl/whirlwind sprint glitch through the wall and seeing if he is in there.
Not surprising. One of Dawnguards biggest trademarks currently is that NPCs related to the new expansion wind up all over the place doing strange things (not as in mysterious, as in they're not supposed to be. For those who are having the same issue youk now what I'm talking about and they're definitely not meant to be doing some of the things they're doing, or be in some of the places they're showing up).
Yeah. I've seen flying fish, guards sitting in invisible chairs in the middle of the road, npcs chopping wood partially inside a house (looked like he was chopping a door down), people teleporting around, and my whole water walking glitch which brakes the game in a way.