If a member is kidnapped, they seem to stay assigned to the their roles. Having your moral guide kidnapped will not trigger "moral guide role unfulfilled" thought of your pawns, even if you have 3 members of your ideology without a moral guide inside your colony. Assigning a new moral guide will give you the message the the old (kidnapped) moral guide was unassigned. If you unassign the new moral guide, things will work as expected.
Banishing or killing a moral guide triggers the unfulfilled role issue as expected. Seems like only kidnapping works differently.
No moral guide, yet no issue: https://steamuserimages-a.akamaihd.net/ugc/1841409905600460715/297AA20F2C91D4198874DAB796951D0A34782474/
New moral guide assignment mentions off map old moral guide: https://steamuserimages-a.akamaihd.net/ugc/1841409905600445776/BB3A0493BF027686698EA8584D501FCA0B91FF34/
Unassigning new moral guide creates the expected issue: https://steamuserimages-a.akamaihd.net/ugc/1841409905600446095/F5D94BAB2B7659E82CC728854EAB7EE83907B19B/
Both DLCs, no mods used.
Edit: several seasons after my moral guide was kidnapped, I now get the message that the role is unfulfilled. I guess my old pawn is gone.
Thanks for the report. I can see why they weren't forcefully removed from the position, since they are technically able to be rescued. I will check to see if it is intended though I think this is probably an oversight rather than an intended feature.
I can understand it for, a code point of view too, but form a player point of view: I do not have any moral guide to guide my people in the colony. That there is still one existing on the planet is probably not really all that guiding for my people. Even when you imprison your own colonist, they will lose the role. The fact that you can technically just release or recruit them back does not avoid losing the moral guide role and making my people unhappy.