Here's the full sequence of events: I did Untaxing the Poor, and during it, took a bit of a sip out of Lex. He woke up and got a bit pissy about it. I ran away, made it back to Armand, paid off the bounty, then went off to do the Order of the Virtuous Blood in the Memorial Cave. Killed the vampires, before I noticed something in my Night-Eye. Did I miss one?
Nope, it was Lex.
I don't know at what point he showed up, or why. He didn't say anything interesting when I spoke to him. He was just there. He'd showed up just as I was mopping up, and the only thing he did was leave. What a strange person.