The Grey Warden vault is a secret storage space on the back of the warehouse in Market District. It can only be activated after you return from Fort Drakon and spoken to Riordan. To activate the access of the vault, spoke to Riordan after you returned from Fort Drakon and talked to Anora and Arl Eamon. Kept talking to him until the Vault came into the topic, then select 'What Vault?'. He would then tell you about the location. The most important item can be retrieved from the Vault is Duncan's shield, a memorable gift for Alistair.