During the Persian Occupation of the Inner City, the Captain can be found off-duty in the Tavern (but can still offer work.) After the occupation, look for him in the Garrison, instead. (Click on map to enlarge.)
The Captain suggested Scarlett find the bandit's lair by waiting until just before dawn and following them back to their den. That doesn't actually work (rogues tend to just evaporate come first light), and a stakeout would be pretty boring, anyway. Use the Quest Map to find their lair any time of day. One is at the end of the dead-end street at the bottom of some stair; the other is . Each door is protected by an extra tough triple lock.
(Click on map to enlarge.)
Inside each lair, Scarlett will find one of the Rogues standing guard in the hallway. After she dispatches him, the door at the end of the hall will have to be smashed down using her war hammer or battle axe. Byond that door, she'll find three enemies waiting: two Rogues and one Rogue Master. Dispatch them with extreme prejudice.
When Scarlett attacks in the second lair (doesn't matter which one she cleans out first), the last Rogue Master will attempt to negotiate. He claims that if the rogues are wiped out, something worse will take their place: corrupt city guards. Scarlett can leave without fighting, or wipe them out, her choice. (They are right, and once Scarlett has removed all the rogues, soon the nighttime streets will be terrorized by Marauders instead.)
There is ample treasure in each lair. Hey, they have pie!
- Chasing Bandits in the Outer City - A similar quest cleaning out two bandit lairs in the Inner City.
- The Lesser Evil - Another quest cleaning out bandits, this time from the Arsenal District.