When a raiding party captures one of your colonists they would take them to one of their bases nearby and keep him/her captive there for some time. Maybe they keep him/her there very long, maybe the sell him/her to the slave market after a couple of days.
Anyway, we should be able to investigate where they're being held captive and when we find out where, we should be able to raid that base and resque the colonist.
yes. With world pawns there was always a chance they would come back somehow but having to rescue them properly....want.