1) I've never noticed that problem, personally. There seems to be others that have experienced something similar here: http://forums.nexusmods.com/index.php?/topic/504047-black-squares-on-local-map/ It appears to be a bug that cannot be fixed; some people claim that the same issue occurred with the local map in previous ES titles too.
2) From what I've read, Brelas appears to be simply be removed from the game at some point once she reaches Windhelm; apparently other than her part in Diplomatic Immunity she doesn't serve any other purpose in the game, so saving her doesn't really amount to anything. These NPCs do die easily and saving them can be a challenge. Malborn should eventually route to Windhelm (after a day or two), assuming he doesn't get killed along the way. Following him seems to increase the chances that he will be killed. His quest should be able to be completed if he safely reaches Windhelm. More information about Malborn's quest can be found here: http://www.uesp.net/wiki/Skyrim:Find_the_Thalmor_Assassin
You're lucky that you haven't had to experience it. It's really annoying for exploration purposes.
As for the second part, I read that about Brelas as well, and that makes sense that she disappeared as soon as she entered the gates. I was just confused because both the wikipedia sites say she hangs around that New Gnisis Cornerclub like Malborn, yet I've never seen her there any time I've played after that quest. As for Malborn, that's the problem: Every time I have ever fast traveled in the game, neither he nor Brelas ever appeared in the Cornerclub where they were supposed to be. Figured that meant they both died on the way there, which is why I followed them to protect them. It took forever, and I managed to finally do it, but then Brelas disappeared as mentioned. Then, Malborn immediately ran out of the gates and all the way back to the Thalmor Embassy's cave and disappeared as well because I followed him there to see what the heck was going on. I'm just going to assume the game is bugged and randomly does stuff like this at times. Only major bug I've had any problems with, though, and because it involves a quest, it's pretty unfortunate.
Anyway, thanks for the feedback. Appreciate it.