This is probably a bug, but no way to check since it's new with U50. If a player acquires a Heist in Daggerfall, starts it, and then abandons it, they are sent to Hew's Bane rather than being returned to Daggerfall. Probably the original Heist coding with Thieves Guild that didn't get modified to account for the the new Thieves Den.
I'm fresh out of outrage, but I could muster up some amused annoyance if required.