No, he's not in the sewer. He's in the building above, but because he's "inside" and you're "inside" the yellow question mark is not darkened.
EDIT: Not sure if you mean the quest-giver (a female) or the NPC you turn in to. The quest-giver is in the kitchen in the inn called Hero's somethingorother. Again, since you are both "inside" while you are in the sewer you will not see a darkened "!" either.
Edited, Feb 25th 2009 5:09pm by cynyck
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"the people can always be brought to the bidding of the leaders. That is easy. All you have to do is tell them they are being attacked and denounce the pacifists for lack of patriotism and exposing the country to danger. It works the same way in any country."
Hermann Goering, April 1946.