Hello!
Welcome to the world of light :) :)
An interesting story (especially the bad luck of starting with first siege and megabeast at the same time). There are however some things I know from personal experience or from the forums I would like to tell you about.
First of all, from personal experience, I know invaders cheat. They will know the exact status of all your doors, so if there is no way to get to any dwarf, they will know about that absence. In response, they will not move an inch. Thus, if you have a siege you always have to open some passageway for them to get to your dwarves. Otherwise, they will simply stay there scaring off the caravans. This is something you will need to consider in your fortress design, I am afraid.
Secondly, at least during ambushes, routed parties have never regrouped in my experience. So, if a group of invaders turns tail, they will probably not come back. However, there is always the danger of there being additional groups that have not been routed.
Finally, from its humble beginnings, health care in DF has made a lot of progress. Trying to save a dwarf is always worth it in my opinion, unless there was a real greater danger to the rescuers. In the situation described, I would have suggested sending your marksdwarves outside so they can scare off any enemies (ranged weapons with ammunition rule in this game). This would allow for a wounded recovery if necessary and the chances of survival would be good. Thanks to the complex relations system of the game, allowing a dwarf to die does pose a risk to your fortress as well, so avoiding unnecessary deaths is one approach to the game.
Anyhow, I hope you don't mind me going all teacher-like (me actually being only an occasional player myself (^_^;; ). I hope you have fun!
Deathworks