Sometimes when I fast travel, two dragons appears and one of them die instantly and I receive two dragon souls. Is it a bug ? Is it worth reloading to avoid this ?

I also have a question about a quest. I'm currently completing The Fallen, but then when speak to the jarl in whiterun and looking on the net, I see that It is better for me to join the legion ot the stormcloak to get a better reward. ?! I joined the legion at this point (level 32, main quest and dawnguard quest almost complete).

Should I just wait more to enter the civil war or is it worth it ?

The Dragon Souls is a bug, but I would not reload because of it.

You may have absorbed a Soul from an already killed Dragon. I have this happen a lot in Solsthiem with the Dragons there getting lost after being almost Killed, they fly off and never return to crash land. My character will absorb the Soul weeks afterwards when exploring.

Personal Advice, Odahviing does not reach His maximum potential until Our character is level 35, avoid trapping Him in Dragonsreach until then. There are no rewards from the Jarl in Whiterun for "The Fallen".

I would finish the Civil War to make trapping Odie a quick trip into Dragonsreach after getting the Shout Call Dragon. Completeing the Civil War also saves a lot of time spent travelling accross Skyrim for "Season Unending", and removes needing to start it at all.

I recommend playing both sides of the Civil War. There are not a lot of differences in the Quests, but a Sormcloak playthrough feels more personal than the Imperial playthrough. The rewards on both sides are mostly random Weapons and Armor, but at Your characters level, at least one of the rewards will likely be an Enchanted Daedric Sword.