Really? I don't believe that happened in either case. The instance with the dagger occurred in Dawnstar when I had just gotten the museum quest. I took it and just went on my way (may have fast travelled shortly thereafter). The second one was somewhere outside of Whiterun I think, near some kind of necromancy altar if I remember right (at the least, it was something unusual in the middle of the wilderness). The guy who gave the shield to me started sneaking off afterwards and I watched him for a while, because he seemed to be moving toward a couple giants, but eventually went on my way. Never approached by anybody asking about either item. At least I don't have to keep lugging them around just in case.