I dont know if this is a bug or not but if you travel far enough towards dawnguard castle you will reach a spot where you can go no further on the road.....is that a bug or is that how its suppossed to be?

You mean the gate to Morrowind? Yes, it's supposed to be like this. After all, we're playing Skyrim, not TES V: Tamriel
You get to Fort Dawnguard through the Dayspring Canyon (looks like a regular cave)

That's how it's supposed to be, I believe.

They use the method of a turn off into a cave in order to have Dawnguard castle in it's own worldspace.in order to avoid conflicts in that area I guess.