According to the uesp wiki, Cicero's journals 1-4 should be scattered around his room in the Falkreath Sanctuary. But I can't find them, only the final volume. I also thoroughly searched the Dawnstar Sanctuary. Where are these things?

Are you sure you haven't already taken them and forgot? is you're on PC you can use the console to add them to your inventory, its all written on UESP too.

I've encountered this bug as well. I think it was introduced in patch 1.4.

Interesting. No mention of this bug on uesp.