Q:I followed Mosley past the market place, and suddently get "mission failed". What happened?
A:Follow the letter, not the person - make sure that Mosley has still the letter in her hand, before you attempt to follow her. In Normal Difficulty, she drops the letter on the Marketplace, so take the opportunity to read the letter now. It is also a good idea to drop the letter afterwards just where she had dropped it, and to hide in a nearby shadow and wait for anyone suspiciously to appear. This may take a while, so don't panic.