Glad you got it figured out! I just finished my first game and the whole game is filled with these very vague puzzles that make them well, puzzling! Anyway, the part that will cause this Red Jenny quest to disappear is when you miss the arrow landing in front of you in the marketplace as you are about to leave for the first time. If you don't pick up the note which a companion will point out to you before you leave, then the quest is gone. I was very happy to find out those elevators will actually take you between the floors of the market! Tricky. An elevator that actually works. Who would have thought???
I think the reliance on the search feature is overdone. It seems like all I did was go through every area pressing down every few seconds to pick up all the resources as well as look for the myriad of items that are part of the collections. But overall, I loved this game! I found the story line fascinating and when I watched some of the YouTube videos, found it does completely change events when you choose a different path! Good stuff!