No problem @Alzeldafighter, it could happen to any of us.
Thralls may in fact die to fall damage, but when that occurs you do get a message in the Event Log stating they died, not referencing any source, which is likely what happened to the second thrall.
If you have no messages in the Event Log as it has happened with your first thrall, it’s possible that it returned to the previous guarding spot or that it somehow sunk into the map mesh or a building piece after setting it on guard.
We’ll be sure to forward this information and your feedback to the developers, apologies for the frustration the issue has caused.