The problem is related to dwarven caravan, but caravan problem started two months earlier, when seemingly happy caravan of humans heading home was partially destroyed by a weremarmot. (the story recapitulated in the spoiler below, to prevent clutter)
Human caravan came and successfully trade, packed and started go home. Before they left my defense perimeter (a river, moat and bridge, the bridge located near map edge) the weremarmot master blowgunner appeared close to the bridge. Some warrior human - marked as merchant - appeared near the weremarmot and started fighting. I think that was one of guards, but it looked like he came out of nowhere, because mechants and the rest of the guards were quite far yet. The weremarmot was using it's sperm whale loincloth to beat the human, starting with knocking many of his teeth out. Finally it killed the guard and after some pause proceeded to the bridge.
Of course I sounded an alarm the moment the critter appeared, but some dwarves saw it anyway and become terrified or horrified.
Merchant have noticed what was going on, and started panicking and fleeing. I had a window of opportunity to save them by closing the bridge, but I was sure that they would flee before anything happened (the fight with first guard was going still), so I let them go. That was a mistake, because the lightning fast weremarmot knocked one merchant into the river and jumped after him afterwards, injuring one horse and another guard in passing. (This also probably destroyed one of the wagons, though I'm not sure at which moment it was destroyed, because I've noticed this only after the battle). There one crossbowman started shooting at the marmot from the bridge, while another was shooting and simultaneously following the second wagon and fleeing merchants (who all passed the bridge by now), covering them. This situation looked quite professional from military point of view.
The weremarmot proceeded to whip the drowning and stunned merchant with its loincloth, took a while but eventually the merchant died. At the same time the weremarmot was pinned by bolts. One of the bolts pierced its heart, it lost its consciousness and I thought that would be it, but then the weremarmot changed back into human form, or more specifically into cave fish woman form. Cave fish people have no eyes, that's probably why she started running in circles (literally) after climbing out of water. Human crossbowman stopped shooting and watched, while the cave fish woman was running and first shouting "This is a fight! I laugh in the face of death!". Then she changed the phrase to "I must withdraw!", repeated, and ran off the map… almost, because she mysteriously slammed into obstacle (map edge), which caused a number of injuries, including smashing the body parts into unrecognisable mass.
Now, the crossbowman ran away too, but with more success. And my dwarves remained terrified.
Now when the dwarven caravan came, with two wagons, some merchant and the first wagon passed the bridge safely, but the second wagon was destroyed instantly just before the bridge. This horrified the wagon merchant, and after some deliberation he fled, together with his yaks. Other merchants and the first wagon were not horrified, but they also resigned and ran back through the bridge and off the map.
Problem is I don't know why the wagon was disintegrated. All items and wagon logs are left, just like the wagon from human caravan, which still lies by the bridge (but other side). What could have caused that? I have a save shortly before that event (it's reproducible, and happens every time I try), and I'm considering sending this as a bug report or something, but I'm not sure if this isn't some weird but known and expected behaviour.
Another thing is, the items from both caravans are coloured purple it the stock list, like stolen, including items I sold to the first caravan. But items I bought from the first caravan were also retroactively marked purple. This is an inconsistency - at least one of the three possible groups (items I bought, items I sold, items brought by caravans but not traded) shouldn't be purple, the first group most logically. I don't remember this behaviour from 0.34.x.
Third thing - how long does last the terror/horrified state of my people? They randomly stop doing whatever they are doing because they are horrified. I suppose this is the shock after that weremarmot attack. That was two months earlier though, I think they should forget about it.
As for the reason this accident happened, I have three theories:
1. Magical IED used by elven rebels. They don't like I'm on friendly terms with elves (I buy their meagre goods) and attacked my really profitable trade route. But I've never heard about any rebels.
2. Something felt on the wagon from overhanging trees. But I see no change in the canopy, and no new objects on the ground (apart from wagon remains and cargo), and no announcement or combat reports.
3. The destruction of second wagon happens exactly the moment the first wagon driver moves onto the tile with remains of the human caravan wagon. Might be a coincidence, but also some hidden trigger or buggy code.