I assume it was a bug. At first I was afraid it had something to do with my new werewolf status, but I see no mention of that in the forums.

But I killed this frost dragon. I know he was dead because I took his hide and his bones. But he just sat there twitching. Didn't glow or shine or anything. I kept poking at the corpse and yelling at it with my force breath to move it around, to the point where one of the city guards walked up and asked me to stop because I was scaring the townspeople. But it just kept sitting there twitching.

Maybe it's because I hadn't seen the greybeards yet. I have now, so I'm on the hunt.