Go to Seranilla. Mine didn't show up either so I checked the Guide on IGN and determined which one I hadn't done and when I fast traveled to Seranilla (it's about in the middle of the map a little north and a little east of center) and the icon showed up.
Ok so I went through the IGN wiki and I only have one mission that is not done. "Flint's End" with Rhona. From what I can tell she is suppose to be in Kingston for this final mission but she definitely is not.