The holotape records the antics of a method actor, Dave, who got too deep into his role of "battlemage," up to the point of claiming to be able to levitate. He went on to demonstrate his abilities, boasting that he would float over to the building across the street. Use the ladder in the corner of the room to gain access to the rooftop.
Jenny's remains as well as her diary can be found on the roof, describing Dave's escape as well as the "golem" he spoke of - a sculpture on the side of a building across the street. It is not possible to make the jump without a suit of power armor with a jet pack. If not, just hop down, continue into the alley in front, and head to the back of the green patio on the right.
There are two doors there, one of which needs a key, and one that leads into Shenley's Oyster Bar. Enter the bar and head to the top. After reaching the roof, climb up some wooden stairs, then some wooden boxes to find a duffle bag containing the key to Dave's "throne room" - in reality simply the bar's restroom. Head back down to that locked door, and inside Dave's skeleton can be found, along with the steel sword and the iron helmet.
Behind the scenes
The name of the quest is a reference to a common saying, meaning that there is a purpose in doing something seemingly crazy. It originates from William Shakespeare's Hamlet, specifically a quote from Polonius: "Though this be madness, yet there is method in 't."