Can anyone help me with this? I have no quest marker pointing me to where the beacon is. However, I did here that it often pops up in the Hall of the Vigilant and for some reason that is on my map although I don't remember why. But when I make it my active quest, no marker for the beacon. This is frustrating.

is this before or after you found the shrine?

After. I have the quest The Break of Dawn in my journal and still nothing.

It randomly spawns in dungeon chests.

http://www.uesp.net/wiki/Skyrim:The_Break_of_Dawn

If you go to the shrine before you get the beacon she will tell you where it is, otherwise, like I said, random.

*edit* missed the above...have you tried going back and asking her again?

had that too, when you get the quest, highlight that part and press M so it shows you the place (without icon) on the map, but it is easy to figure out what place that is once you go into the vicinity of where the map popped up

Lucky me.
I randomly found the Beacon before visting the shrine and she started talking at me when I picked it up -- "Hey! You! Bring that over here! >" she said.
So I did and she gave me a nice sword after I dispensed ass-whooping on some necromancers.