I recently got the Knights of the Nine and have started the quest. I was given the task to complete a pilgrimage. I went to all of the wayshrines, and received the Pilgrim's Grace when I visited the Shrine of Akatosh, even though I still had one more shrine to visit. I went ahead and visited the last shrine. However, I'm supposed to receive a 'vision' after completing it, and nothing has happened. I've done the pilgrimage three times now and there hasn't been any vision or anything like it.

Did I mess up somewhere?

yeah you are supposed to fast travel to really high above in the sky, just above the imperial city! as if you were in heaven

anyways I'd suggest reinstalling knights of the nine then try to do the pilgrimage again!