I have had thralls that just dissapear there one minute and gone the next.
Only to have them reapear several days later.
I was out gathering yesterday and saw an NPC wandering around when I aproached I discovered that it was a thrall that had vanished carrying things for me a couple of days ago.
One that I had searched for at the time.
I’ve also found that except for entertainers it’s best not to bring them into my house, sometimes the just disappear instantly never to be seen again.