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As a fellow DM, I advise to plan for unexpected complications.
1. What happens if the players capture your assassin alive and attempt to intimidate the name of his employer out of him?
As a player, if I saw a bard get assassinated out of the blue, I'd wanna know why. I'd chase down the killer, deal him a bit of nonlethal damage and knock him unconscious, then strip him of his weapons and tie him up. Once I've got him somewhere safe, I'd squeeze him for everything he knows to chase down what's really going on here. Prepare a good backstory for your assassin if he ends up getting caught instead of killed.
2. What happens if the players decide the dagger is too much trouble and try to sell it instead?
If I was given this magic dagger as a player but it was so troublesome to maintain, honestly I'd just sell it and cut my losses. Sure, it might have cool magic stuff, but if it's gonna give me a hard time I'd rather get a few copper and be rid of it than face the trouble of it stabbing random people in the street and getting me thrown in jail. Magic items should be stuff your players want to keep, otherwise they'll toss them as soon as they turn out to be annoying.
If I can give you one piece of advice, it's that you wanna give the players a clear goal and an incentive to reach that goal.
For example, my current game, I opened with a choice of three different adventure hooks. The first option was a dwarven merchant that was offering a bounty on a group of orc raiders that had attacked a caravan on the road near town. The second was a local businessman that desperately needed a band of hired mercenaries to transport sensitive cargo to a nearby town. The final hook was a local nobleman that needed hired thugs to clear his silver mine of a kobold infestation. I left it to the players which job they wanted to take, having prepared all three encounters. This let them start with a clear goal and a reason they would work together. They ended up taking the orc job, discovering the ruins of an ancient castle where the orcs were camping, clearing out the orcs and then working to take the castle and rebuild it to make it their own stronghold. The dwarf paid them their commission, then mentioned the reason he'd moved into town was that he was seeking information about his brother who had founded a dwarven outpost nearby but suddenly stopped writing home, etc. Once they're working together, you've got a clear reason for them to continue.