He ordered the capture of Dexion Evicus and had him brought to Forebears' Holdout where he attempted to break his will. He is the only known Orsimer vampire, excluding the Dragonborn if they are an Orc and member of the Volkihar Clan.
Malkus' corpse can be found by the magical barrier holding Dexion. It appears that the Dawnguard, led by Vanik, stormed the cave and killed all of the vampires that were holding Dexion. The Weystone Focus must be looted from his corpse in order to free Dexion.