For the last quest of the Thieves' guild, I've discovered while playing that, after leaving the dungeon to see yourself once again in the market region of the Imperial City, if I you are caught by a guard (in my case I could not be 100% stealthy after I got the scroll) and pay gold to get rid of your bounty, the Gray Fox will not be in the house where the quest marker was pointing, preventing you from finishing the quest. As I had a previous save (always keep other saves!), I did the last part again and this time I paid my time in jail (the scroll is a quest item and it is not taken by the guards, even though it is a stolen item). Then I went to meet the Gray Fox and he was there as expected. Take this into consideration while doing this last quest!