Why does my mission marker disappear in Saints Row 3?

Solution 1:

Markers in Saints Row 3 disappear in general when you stand on them, or are close enough. Not much to do to fix it, it's just that you should look around for the actual objective.

They do disappear before the actual objective for assassination and vehicle theft missions, but that's a particular case. That's because in such case you have to do something to bring the target out, or just look around.

From what I remember, for your specific mission, when you are at this stage, you have to enter the building from a door on the roof. If it's not there, there is a problem, indeed. But it should.