I think the Invitation of The Nine (the Tangled Shore part) is still buggy. It says that I need to kill Vex rather than Fallen nor Cabal. Don't know if I'm the only one who's dealing this problem because all that I know that it has been fixed back at the Season of Drifter.
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Allo there, You can find Vex inside the Warden of Nothing strike as that's located on the tangled shore.