A bit obvious, but have you tried setting a different quest as active? (If that's the spot it's taking up)
I also find when quests sometimes get stuck under the active quest that going through the 'completed' section in the quest journal and looking at all the entries with an asterisk can get rid of it. Not sure that that would work on consoles, but it seems to work on PC.
Other than that, all I can suggest is, if you're on PC, try doing a repair (right click the game in Origin, select 'repair game'.
Yeah I tried toggling a few things active and inactive but no luck, and the Winter Palace only shows up on completed quests at this point, and even there I tried highlighting everything to make sure the game recognizes it as completed, but maybe this was something I abandoned. The damn notification still follows me around, and clearly at this point I can't complete it, it's followed me even on my migrated save from 360 to xbox one.
Well, it could be a console thing, you could try editing the title of the thread in your original post to include that you're on Xbox, maybe someone's come across it before.
Sorry I can't be more help, I'm a bit useless when it comes to the console versions.
This happened to my brother as well but with a different quest. This was on PC and we never managed to get rid of it.
