I just came here to report this. 3 times on a row my knocked out thralls vanish when I drag them to my base. I have to drag them of a mountain and they they seem to sink into the mountain. My rope is still attached.
There’s a few threads on the issue you mentioned. Check out my comment in the following post.
After extensive testing I’ve figured out ways to capture thralls from any settlement despite the bug.
For example, at New Asagarth if I drag NPCs out the front, they vanish at the same spot every time. If I immediately take a right and stay near the wall and then slide down a slope a little ways down, I can safely deliver them to a nearby Wheel of Pain 100% of the time. I have similar setups at many NPC camps.
You can make NPCs chase you to see exactly where they’ll disappear and then try to build a Wheel of Pain before that spot. I hope this makes sense and helps!