I think he's supposed to be in the cell: "Solstheim, LoKKen Laurenna's house" (as you expected) until later events, but my memory is foggy.
Have you tried the "RA" console command in Laurenna's House?
You could also try the "GetDeadCount aa_wulfren" console command, any result other than "0" would be bad.
If you don't get an answer here, you could also try http://emmates.proboards.com/.