I don't remember exactly when I got the quest. If I'm not mistaken, I think I already had it as soon I I started because I used the Knox's Recruitment Adventure Order. Anyway, it makes no difference having a companion slotted or not or which NPC I try to talk to, the arrow will still not go away.
I am having the same issue.. It is extremely annoying that I payed big bucks just to have to look at that really bright arrow at the top of my screen all the time!