Persuaded the mercenary I found on the road to tell me where he was headed, the game says my map was updated, but I cannot find any new location on my map, all locations show as already been discovered. No new quests have appeared in my Journal. Does anyone know what this mercenary was talking about? If it makes a difference, this was a Dark Elf mercenary that I ran into NE of Whiterun, near the dragon priest's tomb.

I got that too, except it was an Orc. I also have no idea where to go.

"Map Updated" doesn't specifically mean it added a new location to the map, it just means it added A location to the map. So if the location was already there, it basically did nothing and you'll have to guess. Usually they also name the location.

Actually I seem to recall the mecenaries DO name the location. Could you just have forgotten? What's their approximate dialogue?

I loaded a save before I persuaded the mercenary to tell me where she was going, and all she said after I persuaded her was "well, I guess I have plenty of free time now" and the game says "Map Updated" at the top.

Nope, I've found several of them - all with the same speech and lack of help. It's just a way to add more stuff to your map unless you already discovered it. Certainly no mercs have complained that I got them in trouble for not doing the job.

It's normally a "bounty" quest they give you. Look in your journal for a "kill bandit leader at X location".

I am not sure if that is accurate for all mercenaries. I followed one mercenary, and she led my character to a Storm Cloak camp. I personally think the mercenaries are a waste of time, and I tend to avoid them now.

i feel left out. 248+ hours of gameplay i never once encountered a mercenary

They are scaled up to 50 level and may wear a full set of ebony. Hmm ... $$$?