For the missions "kill x creatures", you just have to kill that number of creatures with that hero's army. They can be from anywhere (another province guard, ambush, enemy army, ruins...). Simply find some place with vampires (which can be tricky. 17 shards into the campaign, I never saw one) and send your hero to kill them.

The exclamation point is there to remind you where to get your bounty after you suceed, it doesn't point to the place where you get to actually fight the creatures.

Note that it will be a difficult mission : Vampires are uncommon, powerful, and can be assisted by an entire army of other units.
And it is quite possible that you will never find any vampire on that map, too...