The messenger hound has to make it to Bjorgnerfell to receive the message. Easiest way to complete this quest is to go to LOC 39055, 14212, 4624. Basically directly WNW from Vasudheim across the water near the only building on that Peninsula. This is the exact spot the hound receives the message and starts on his way back toward Audliten. If you kill it before it gets to Bjorgnerfell you basically waste a hound and have to wait for a new one to spawn.