they also got information out of him on where the extorted money isI don't quite understand why first escorting the dude out of the cell, into the woods, and then killing him is so much different from just killing him in the cell. In both cases, he would be a corpse with a dagger in his chest. However, a prison escape always carries a risk of getting detected, and the same would go for hauling a dead body back to the cell. As soon as Sirius found the man who originally was supposed to get the crook out of the cell, it was clear Dolgar regretted nothing and would continue on his criminal path.
"Deep in the woods to the southwest, there is a cave."they also got information out of him on where the extorted money is
He's got his training and magic as well that could help him searching. The fact that he's already on the road doesn't mean that we couldn't have just skipped past it as well."Deep in the woods to the southwest, there is a cave."
I'm not sure that extremely vague line is worth anything. In fact Sirius didn't considering it worth spending months to investigate: after all, they hit road already and are on their way to the next destination. You know, you could miss the entrance of a cave in the middle of a forest by merely walking five meters off. And they have got practically no information. In fact Sirius doesn't even know if Dolgar was speaking the truth. He might have as well lied just to keep the hired man ignorant, yet still hopeful and obedient (he was in it for money, after all, so as long as he believes he will get generously paid, he will follow Dolgar). So, Sirius could spend five years looking for a cave but never find anything.