In the pine woods, I heard the merchant calling out, but had no rope, so I went back to town to restock and then came back. When I use a rope though, I really have no idea what's supposed to happen. I know that the rope's doing something because it actually consumes it rather than give a Not Here! message, but I have no idea what it's exactly doing. From some other posts I read, you're supposed to find a hidden cave/pit, but I have no idea where exactly on the map it's located.
Concentrated Search is supposed to find it? I tried a lot around the area where I heard him, but didn't find anything (although granted, I did sort of forget where I last exactly saw his dialogue pop up).
You may have to bring the whole party near. You shouldn't, and I don't know why you would, and i know that contradicts what it says about using the Concentrated Search at the beginning (about all party members searching the area where the initiator is, automatically) but I tested what you described and I didn't get a 'found' result til I brought all the party members over and the highest one was in range. Which sorta makes sense O and I fixed the 'rope getting consumed' thing in the latest patch.