A feature, as has been noted, which isn't new (present at least in 0.40.X, and probably predating that as well). Merchants (but not their guards) get horrified and leave (taking the rest of the caravan with them) as soon as they see a body (part, including a single tooth) from a sapient creature. The (sort of) bug part is that this is done without any notice. If you happen to watch that particular merchant while it happens you'll see an exclamation mark above his head (possibly the symbols varies with the tile set used), but that's all the info you're going to get.
One work around is to have multiple entrances and direct the slaughter to entrances other than the trade depot one. If it takes place inside tunnels you can close those off (I have, at times, closed the trade entrance off because of bodies, sacrificing the appearance of (bolting) wagons for the animal haulers who can take the other entrances).
Another work around is to use various methods to clean up the mess quickly (note that it's only the body parts the caravans care about: blood soaked walls and equipment has no effect on them). Easier said than done, given that dorf herding is about as easy as cat herding.
A third one is to try to see to it that there aren't any bodies around either by dropping them down into pits or by catching them in cages.
As Geltor indicates, you need to dispose of the corpses in a corpse stockpile/dump site/atom smasher/incinerator away from the eyes of the caravans (and, preferably, your dorfs as well, given that seeing sapient bodies results in bad thoughts).