When clearing the Rivertown sewers, did you encounter an entrance leading to a room with a locked door, that you could not get past? That is the treasure room, and the way will be open now that you have the quest to rescue Zandalor. If you joined the thieves' guild, Rob should have marked it on your map (though there are only two such entrances in those sewers, and the other is to the jail (dead end)).
You can miss experience points and/or reputation by failing quests, but that is about it. Failing one quest (like giving Corinna the fake branch) can break other quests (but usually will not). There are some quests designed to fail, such as meeting Zandalor at the inn.