It's a bug. The unofficial patch fixes the script so he will leave jthe ail after 'taking care of business' is completed
This. ^
The unofficial patch is made with total respect for the way the game is supposed to be. It is not a mod, but a patch. Kivan (and Quarn) have made similar patches for Baldur's Gate, Morrowind, and Oblivion. Complete list of fixes can be found here: http://baldurdash.org/TESSkyrim/USKPFixList.html. The patch iself can be found here: http://skyrim.nexusmods.com/downloads/file.php?id=19.
