If your Codex task has an arrow for that, it means you have not yet consumed 10 terror essences and the task is not yet completed. The reason it directs you to the Bounty Board is so that you could do a Hellslayer Bounty (which would consume one Terror Essence). However, you don’t have to consume them that way. If you go outside of a safe zone (i.e. not a town), open your inventory, and click on a Terror Essence, you can consume one by generating an Oblivion Spire. Once you’ve consumed 10 Terror Essences, your Codex task will look like this with a Claim button rather than an arrow…
What you’re reporting is not a bug.