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MILD SPOILERS BELOW:


I read on the UESP wiki that Malborn is supposed to greet you with: "Oh, it's you. I didn't expect to see you again", and that you'll have three different options of responses to this. However, when I talk to him he just goes "mhmm", and I then get the option to tell him: "tell me about this Thalmor assassin that's hunting you."

I do have a vague memory of talking to him before, and that we had the conversation that's supposed to take place in Windhelm, but I'm not entirely sure.

Umm. Couldn't you just check your journal?

I do not have the quest in my journal; I get it when I talk to him in the Cornerclub. Maybe I talked to him before he got to Windhelm, but didn't recieve the quest?