I think that we should let the KISSingCelt wander as he wishes. That sets a precedent for them to allow us to explore their homeland as well, which we could initiate now.
Alternatively, we could ask the warrior to not venture further south of the River that deltas into the Ivory Bay. We could mention that we will also repect a geographic boundary of theirs if they wish.
If we escort him, I'm not sure what we would gain. Yes, we'll know where he is at all times, but we'll also lose those turns we could be devoting to exploration.
Are we nervous they might reneg on peace and sack a city? We'll have a couple more warriors by the time he gets here.