Distance is irrelevant; some thralls vanish when their body reaches certain borders, presumably the ones between chunks.
When testing in New Asagarth, thralls would disappear at the exact same plank on the road leading out of the city. When crossing that plank, some of the NPCs inside would respawn instantly, but not all.
I noticed that I can successfully capture the NPCs that do ‘not’ respawn when crossing that border, but the ones that do respawn vanish every time I reach the border around the city (I tried leaving in different directions).
This bug works on conscious NPCs as well. I rounded up a bunch of NPCs and ran out of the city to a nearby Wheel of Pain. Many of them vanished at the border and a few reach the wheel, where I knocked out the ones I wanted.
Hopefully this helps the devs resolve the issue.