No, just kidding, the lab is in a special instance which is accessed by a hidden passage in Talmark Wilderness. The passage will appear once you get to a certain quest.
Escorting Courier Falken is only worth it if you are very short on cash: it is rather difficult and gives only spare change and a handful of supplies (like 500g and 3 supplies in normal mode). On the other hand, money is money, so if you feel like keeping him alive and fighting a few more enemies than usual, go for it.
Thackeray's missions belong to another mini-campaign called Hearts of the North, which is unlocked once you complete War in Kryta.