The feature concept is very simple:
If an Expert Missionary fails to establish a Mission there is a chance that the Unit is "transformed" into a "Failed Missionary" (instead of always being lost as now).
The "Failed Missionary" being a new really weak Unit - that has a tiny Bonus on Crosses but is useless for everything else - that is spawned in the next City of the player.
Is that required? If a missionary fails I would like to see the downtrodden depressed chap limp home instead of teleporting from the location of his failure to the next city.