My sorcerer Alejandro is standing next to Vidar Silverthread's shop in Northguard, and the quest helper is telling me "Talk to Vidar Silverthread in Northguard."
But the yellow arrow is telling he's 736 units behind me, towards the rainbow bridge.
And yes, I entered GH with the spiral key, not by porting in after someone else. Apparently you do not need to complete Baldur Goldpaws' quest chain in Olde Town in order to get access to Grizzleheim after all.