I confirm your issue. Thralls indeed in many cases are getting lost on death under the terrain . So the problem exists 100%.

A workaround, yet not the solution is to wait some mimutes for their body to decay and become a loot bag. Loot bags ALWAYS spawn on the terrain and are visible to loot easy.
I do this on Surges as well years now. After a surge ends i am wondering around for possible lootbags to show up since the dead npcs are under the terrain hidden.
I cannot explain why it happens, but it does, years now. Not only to thralls but to anything that walks in this map, even to our toon.
Wait for lootbags, get your s…t back.
Wishes for a happy new year fellow exile :tada:.