The Prophet will appear and you will need to travel to The Harborage to complete the Quest Chasing shadows activated by entering the Harborage. The Harborage is a cave outside Daggerfall, Vulkhel Guard or Davon's Watch.
Quick Walk through:*** Spoiler - click to reveal ***Go to the Harborage
Talk to the Prophet
Investigate Daggerfall, Vulkhel Guard, Davon's Watch
Speaking to the locals has shed some light on where the agent might be localy.
Enter the cellar
Search the underground chamber
Talk to Abnur Tharn
Return to the Harborage
Talk to the Prophet
Talk to Lyris
Complete the quest
Thanks EYEHUNTER 42 for the feedback on location of Harborage as well as G Mason Patriot for pointing out the level restriction is now removed with the new update.