So every time I use Call Dragon Odaviing just flies around in circles at high altitude and never does anything. Am I experiencing a bug here or what?

I think he is supposed to attack nearby enemies.
So he does nothing if you are in a safe zone.
(I've never seen him do anything)

My last test of the call was at Northwatch Keep, fighting all of the Thalmor guarding the entrance. Called him and he just flew around in circles and didn't do [censored]. Then he took off and an Ancient Dragon came along and took me out, was pretty [censored].

I dunno, every time I've called him in battle he swoops down and breathes fire. Somtimes even lands and bites enemies. Maybe Northwatch just doesn't have any landing zones.

It does. I've been killed there plenty of times by dragons landing on the walls or the courtyard.
Seems like Federally does have a bug.

The fact I was killed by an Ancient Dragon who came along after Odaviing left proves he could have done something.

It would also be cool if he could land and let me talk to him again. The conversation with Odaviing was cool and he should have more to say!

I called him to fight a Stormcloak camp, and he did indeed attack (he focused his attacks on the archers up on the hill - this was very helpful, actually). He never landed, just breathed fire on them from the air...