Speak to the citizen the objective marker points to. Extract information from them to obtain a Letter from the Vampire that reveals the location of the vampire. Go there, kill the vampire and return to Gunmar.
PC 360 PS3 When arriving at the location of the Master Vampire (after getting the location from the contact), the quest marker may point the Dragonborn to a point on the floor where the Vampire should be, but isn't (reloading a previous save from before entering on 360 (pc unconfirmed) if that doesn't work reload from before obtaining the location of the vampire may fix this bug).
PC After the Stormcloaks have liberated Skyrim, Siddgeir will no longer be Jarl of Falkreath and thus not be there. When he is then chosen as a Contact, the marker will point to some random location, and the quest will be unable to finish.
PC One of the possible locations of the quest target's hideout is Gallows Rock, which is occupied by the Silver hand. Once the Dragonborn enters the keep, members of Silver Hand will attack the vampire, possibly killing it.
PC If Susanna the Wicked is given as a contact after she is dead, it will not be possible to talk to her to find out where the vampire is, making the quest impossible to complete.
PC If Vekel the Man is the contact, and the Dragonborn has already became Guild Master before this quest, after him saying ,,...just please leave me alone!" he will start commenting again on how poorly the Guild is doing (like Been a long time since anyone's joining us. Seems people are in a rush to leave."). If he is asked What's the word around the Guild?", he will say the correct dialogue, though.
Gunmar has sent me to <radiant city> where I am to learn the current whereabouts of the Master Vampire. I will learn this through interrogation of his last known contact <radiant NPC>, or searching for evidence. Once its location is obtained, I am to destroy the beast in its lair.
Objective: Find evidence of the vampire's whereabouts
Objective: Kill the Master Vampire at <radiant location>
Objective: Return to Gunmar
Gunmar sent me to <radiant city> where I have learned from <radiant NPC> the whereabouts of the Master Vampire. I then journeyed to <radiant location> and destroyed the beast.