Encountered just outside Pilgrim's Crossing, and the intersection in the paths. He was traveling with 2 Redsnow Bodyguards, one a fighter and one a mage. All three were yellow names (non-aggro).
You must kill the 2 bodyguards first or the Courier will run away, reach the end of his tether and break.
Having killed all 3, they dropped nothing. We have no idea if this encounter has a purpose or not.