Was on follow logged off inside base still on follow.
Logged in today and missing.
Checked event logs shows it returned to base, 3hrs after I logged off.
Coyal is right, you have to try and remember either where he was first placed, or the last place you set him to stand and guard. And do your best to always set them to stand in guard before you log off. I’ve lost a few good thralls that way. (Just realised reply was OP)