He ordered the capture of Dexion Evicus and had him brought to Forebears' Holdout where he attempted to break his will. He is the only known Orsimer vampire, excluding the Dragonborn if they are an Orc and member of the Volkihar Clan.
Malkus' corpse can be found by the magical barrier holding Dexion. It appears that the Dawnguard, led by Vanik, stormed the cave and killed all of the vampires that were holding Dexion. The Weystone Focus must be looted from his corpse in order to free Dexion.
Malkus: "The more you fight me, the more you will suffer, mortal."
Dexion: "I will resist you, monster. I must!"
Malkus: "How much longer can you keep this up, Moth Priest? Your mind was strong, but you're exhausted from the struggle."
Dexion: "Must... resist..."
Malkus: "Yes, I can feel your defenses crumbling. You want it to end. You want to give in to me. Now, acknowledge me as your master!"
Dexion: "Yes. master."