The most likely explanation if you have checked both Skyrim and Solstheim with your quest set to Active(and no arrow shows up) is a bug with the librarian`s available destination list.
In one of my games , Shalidor`s Insights came to a dead end because Urag was sending me to The Katariah(no text but im pretty certain) which will never exist since I had destroyed the DB !!!
IF you are able to activate the Hail Sithis DB quest , you very well may find what you seek on that ship.
Only other fix i know (xbox,ps3) , is to revert to a save prior to turning in the librarian`s quest you did just before getting the current one with the hopes of another destination.