A few things so far.
These two quests are much more complicated than the previous ones. We need to find specific regions in the actual dungeons to complete these. You may remember there are sometimes forks, so we need to take the right paths to find the quest spots, and I will point them out here. Return to the Residential District. You'll see a yellow !, approach it. Choose to "Threaten him with fire", then exit right.
I did not get a yellow ! so I never got to threaten anyone with fire, nor a way that made sense to exit right. After choosing Residential District in the Ascending Room, I appear in "Southern Shelter" where I went left previously to start chapter 3. I tried going right and found nothing. Going left takes me to the outside path to the Ruined Apartments. Not sure if I missed something or if this will affect anything moving forward.
EDIT: I found him on the run through this area pretty far in. After doing sidequest stuff and on the way to the chapter boss.
Leave the district. Back in town go to Shanty Town..
It took me a minute to realize that you need to pause and choose the red flag option in the command menu to return to Dalearch ("your progress will be lost..")
Take the south path, which leads to the Ruined Apartments. Once you finish RA, take the south path again to reach Washer Street. Go through this region until you reach the room with the exit. You'll see a door partially obstructed by a table, enter it and head right for a scene. Leave the district. Back in town go to Shanty Town, go right 2 screens, and then down the stairs at the end of the room. Talk to the guy right of you, then go left 2 screens and talk to the lady by the pot, and then go back to the guy. Return to Helga at the inn to get the Valkyrie Armor costume.
After talking to the vagrant guy, you cannot go left as it's blocked. You have to go in a door/down stairs, then left two screens.