I'm in Elsweyr. I'm here:

http://img199.imageshack.us/img199/3371/acd013.png

When I ask where the Conclave of Baal is, they tell me it's southwest. Regardless of where I am. Even when I'm

http://img706.imageshack.us/img706/965/acd011.png

http://img716.imageshack.us/img716/8175/acd012.png

STANDING RIGHT NEXT TO IT.

Weird.

That's not a bug. That's just Arena.

Real men have the NPCs mark it on your map!

That does indeed look like a bug. I have encountered it on very rare occasion, but never when the location actually existed.