This is with the Shady Character in Blackwater.

When you inquire further about the job to kill Lilith and then refuse and attack, after defeating the Shady Character the game gives the "A quest in your Quest Journal has been removed because it can no longer be finished. You may still be able to finish the game." However, no quest is removed because it was never inserted.

Also, When you get the letter for Penelope, it asks if you want to add taking the letter to her as a quest; well it keeps asking every time you read it. It only adds the quest once, but I noticed it when I re-read it to try to figure out where I exactly I should take it. >.<