I found that the quest "House Hlaalu: The Missing Merchant" to be greatly lacking in direction compared to its siblings, albeit almost entirely in the latter half of the quest.

Being asked to investigate the disappearnace of an outlander merchant makes sense. Going to his house and finding a threatening letter adds intrigue, but no direct lead, unless you're thorough and find the ash statue. Asking around leads you to The Dancing Cup where his Nephew can be found, with two leads: a nearby smuggler's cave, and a merchant all the way in Almas Thirr. The smuggler's cave contains his dead body, one or two ash statues, and quite a bit of contraband and loot. The merchant in Almas Thirr requires a significant amount of convincing, but ultimately states that she didn't do it, even if she's glad someone did.

It took me about a week of game time asking everyone I could before I had anything more than this seeming dead end. The merchant, Darane Navur, has no reason to actually kill the man, and seems like she'd just tell you if she did, confident that temple law would be on her side. The local Camonna Tong have the means and the resources, have traded in ash statues and contraband before and since, and the local temple staff claim that they're to blame (on behalf of House Hlaalu, no less); it's possible that they're involved, but none of them have any actual reactivity or ties to the quest. The proto-dreamer Sathes Barnalo seems the most likely culprit, despite no directions being given to him, since he admits to knowing Gavros and the location of the cave and gets very upset and possessive if you mention ash statues to him. But he can't actually be blamed unless you've learned of the Sixth House through the main quest, despite the fact that his relation to the cult doesn't matter here and the fact that Darane has already stated the relationship between ash statues and the Sixth House during her confession.