Occasionally I escort them back. But it happens so often that their pathing messes up and they end up heading in an entirely different direction, that I don't bother too often anymore. Something interesting I did notice though: one of the settlers I had to free was one I had assigned as a guard at a different settlement. I dress up my guards and provisioners in specific recognizable ways, and the settlement I got the call from didn't get any guards assigned yet, so I was a bit baffled when I found a fully equiped guard (including 1,000 rounds of 5.56 ammo) settler being the hostage. I never figured out what settlement the settler came from, but ah well. But, this basically means that when you free a hostage, you don't get a new settler. You only get a replaced settler from another settlement.