Hii ^^
well there's not a specific location nor task besides searching for clues (apologies), but the guards were up to chase you as soon as you talk with them, or you could attemtp to infiltrate in the north-east gate, which is Tanelia's Palace, so the story should progress after the battle with the elves.
Still, there may be some bugs since I recently updated the quest engine, I recenlty replayed all the game and everuthing went well, so if there's any issue there, next update these days should fix it, still, feel free to comment if you find any issue or bug I could check to make sure it's fixed in the next update ;)
Ok now I see what may happen, have you reached the fifth floor of the tower of lust? there's the last seal there, with another demon of lust there giving you some tips, after the first conversation, it should give you the chapter 6 quest.
I added by accident the chapter quests chained, so once one closes, the next one opens, which is may have happened since the last quest log module update.
If is that what happened (quest opened after chapter 5 closed automatically) then maybe you just need to go forth to the tower of lust and progress up to meet Yina, the doppelganger frozen in the last seal. She will make the game progress so you can go finally to Merril.
This issue is fixed in the next update we are publishing these next days (we are just testing some other fixes), but you may have chapter 6 started already, so you can go forth and try the last dungeon to re-open the quest.
I hope is related with that, can you give me some feedback if you can continue after that point? ^^