Escorting a spy, an individual or small group that is supposed to go undetected, with a large army seems kind of strange...
But as for whether envoys should be units on the map, I think the main question should be what would be gained by having them be units on the map? They can't fight or interact with the terrain in any way, so is the benefit just so they can be captured?
Well, if they happen to have the Mongols in the game, it could well represent the Mongol Agenda. Ambassaders/envoys were humiliated or executed and that prompted a war where Khwarezmia was destroyed.
Genghis then sent a 500-man caravan of Muslims to establish official trade ties with Khwarezmia. However Inalchuq, the governor of the Khwarezmian city of Otrar, had the members of the caravan that came from Mongolia arrested, claiming that the caravan was a conspiracy against Khwarezmia. It seems unlikely, however, that any members of the trade delegation were spies. Nor does it seem likely that Genghis was trying to provoke a conflict with the Khwarezmid Empire, considering he was still dealing with the Jin in northeastern China.[5]
Genghis Khan then sent a second group of three ambassadors (one Muslim and two Mongols) to meet the shah himself and demand the caravan at Otrar be set free and the governor be handed over for punishment. The shah had both of the Mongols shaved and had the Muslim beheaded before sending them back to Genghis Khan. Muhammad also ordered the personnel of the caravan to be executed. This was seen as a grave affront to the Khan himself, who considered ambassadors "as sacred and inviolable."[7] This led Genghis Khan to attack the Khwarezmian Dynasty. The Mongols crossed the Tien Shan mountains, coming into the Shah's empire in 1219.[8]
https://en.wikipedia.org/wiki/Mongol_conquest_of_Khwarezmia