They should just lose hp if they are far from your cities/settlements/capital. Give you a chance to move back into support range.I'm reminded of a classic MSDos game called SkiFree. After you passed the the 2000m mark, the Abominable Snowman would chase you down and eat you. This was an inevitability, he was programmed to run far faster than your normal skiing speed, and while you could increase speed temporarily to avoid getting caught, at some point an obstacle or turn would slow you down enough that he would eat you. I've seen this kind of "expiration date/space" risk-gambling in other games in other forms, and I think it is a very nice, organic way of implementing soft limits.
I think scouts should be "eaten by tigers" after they stray too far from your city. Or maybe, like the Abominable Snowman, have a timer start counting down at a certain distance, where their odds of being "eaten by hippos" increase turn by turn. That way you are allowed to explore further, but there are downsides and they might just get "eaten by cassowaries."
That should apply to all units, military/settlers etc. Scouts would probably have a longer range than other units, but they should still have a range beyond which they lose hp inevitably.