I never actually thought about how retarded the Thieves' Guild questline actually is, never liked Karliah's voice since she always sounds like she needs to clear her throat.
In that quest where you collect the Horn for the Greybeards, how did Delphine actually get to the horn before you? There is a secret door, but it can only be opened and closed from inside of the chamber, which you need the whirlwind shout to get into. Even then, why did she leave a paper note? There is water in the chamber and paper can easily get blown by wind.