Please see Arremer's answer which is accepted. But if you still have problems then follow along:
I started the quest "The Break of Dawn", but when I set the quest as active it won't give me a quest marker.
There are two ways to start the
Break of Dawn quest. The required level for this quest is 12.
1) Either you find Meridia's beacon while questing. It does spawn randomly.
2) The other option is to visit Meridia's statue, in which case she asks you to find the beacon in some camp. IF this is the case then the quest marker activates as long as your quest journal has that quest active. In this case
Clairvoyance should help as long as this quest is active in your journal and no other quests are active.
If you used console commands
setlevel to get to the level 12 requirement for this quest, it will not start at all. To correct this, use
player.setlevel 11 to get to level 11 and then level up normally or use
incPCS to level up some of other skills to level up to 12. Source
Apart from this I have not encountered any bugs related to this quest.