nay, as far as i know, 'a small favor' quest is a quest asking for item(s) right? the well i mentioned named 'a strange noise' maybe? i forgot. All i remember this quest is a battle quest, you will battle weak enemies in a map which consists of some wells (3-5 maybe). The winning condition is only to examine "one" well. after you examine a well, the quest will be over, and you'll appear somewhere in the world map (a place you've never been before). When the same quest re-appeared in the bar, you should take it again, and this time examine another well, it'll open another secret spot in the map. along with some quests that connected with that particular spot.

and about missable quests, i don't think there're any.