When I meet Faldrus along the road and talk to him, he says he will mark the shrine of Azura on my map. I look at my map afterwards and it is not there. Any one else experiencing this?

No, but you can dialogue with the innkeeper in some taverns (I want to say either Whiterun (Hulda) or Riverwood (Orgnar) using the rumor topic) and they will mark the shrine on your map. I don't know if that helps in a scenario where the objective may already be assigned without the map update though. You might be able to fix this on the console (on PC): http://www.uesp.net/wiki/Skyrim:Visit_the_Shrine_of_Azura or simply reload an earlier save and talk to an innkeeper. I've never had an issue with the shrine marker showing up that way.

Thanks a lot, appreciate it.

Faldrus actually goes all the way to the shrine if you follow him (and keep him safe). Afterwards he just stood at the shrine and told me he was on a pilgrimage to visit it.

He really does that? I grew tired of following him near Windhelm this time. He walks soooo slooooooow. *yawn*

Yeah, I was near Winterhold when I encountered him once, so i decided to escort him the rest of the way. Good thing I did, or a couple of Ice Wraiths would've killed him for sure.