I tried to capture enemy settlers by my warrior who was escorting another settler unit. Captured unit just vanished without the usual popup. I tried again from autosave and breaking the formation before capturing and it worked as usual. I declared war whilst capturing.
If this worked, it might lead two settlers staying in one tile over a turn, so I guess there's a chance it isn't an actual bug.
If this worked, it might lead two settlers staying in one tile over a turn, so I guess there's a chance it isn't an actual bug.