It's not so much a bug as it is that Toady set the TSK token to lead you towards the center of the site the target resides in (or as far as I've seen it will guide you to the rough center of the territory a site occupies) rather than directly to the target themselves. This even goes for towns and villages, which are massive, and for which the "center" that the TSK token points you to is nowhere near any of the areas actually populated. The vampire IS in that town or hamlet, but won't be out there in the "center" of the site: they'll be in one of the houses (or dungeons/sewers in hamlets large enough to have a keep) in a population center.
The exception being if the vampire is supposed to be in a "dark fortress" (goblin site), "forest retreat" (elf site) or "mountain halls" (dwarf site). In which case the vampire is only their in legends mode. Because that site doesn't actually exist in-game, so the vampire technically both is and is not there. Just like the rest of the population that is supposed to be there but wasn't given any instructions for how and where to show up and thus doesn't. They will have a site to exist in in the next version. Coincidentally, by "Dark Forest," did you mean dark fortress?
Also, buildings are almost always made from the wood available to a civ, which would come from their surroundings, so it SHOULD be made from the same stuff as the surrounding forests.