I never ran into it saying failed unless I had. I learned quickly to save before entering the place and to save right after leaving. Hit a guard instead of the dragon that landed, ended up in jail.... failed. Ended up going back alot farther than I wanted to. So now I save before and right after. When I am done for the day, I clean up my save files.
Lol, chalk it up to " big brother " watching your every move. Them chickens and horses are spies ya know
No it doesn't matter if you choose to quit the job, return to Delvin or Vex whom ever the quest belongs to and tell them you want out. Then pick up another job of off them, it will be displayed in the " General stats " menu of the pause menu the number of TG jobs you quit / failed but outside of that there's no repercussion. Well maybe a snide remark from either Delvin or Vex
If you are pushing for the TG master armor I suggest that when taking on jobs do both Bedlam and Sweep jobs, both pay out pretty nice and it's quicker to gain ground on the TG master quest.
My only guess is that the home owner/occupant that you stole from died during the quest as that causes those quests to fail, if that's not it then welcome to the world of weird illogical bugs in these games.