It's a bit hit or miss. I don't think they can implicate their bosses if they are not in the map.
But it does show me how the command chain goes and I know which artifact they are after. I know the names of the usual suspects that way, so they get interrogated immediately lets me see if the command chain has more goons and by chance if I have two agents from the same organisation, others get implicated as well on other stuff (Espionage and whatnot)
I think when they run out of goons, bosses themselves show up. I have one organisation where boss is now an obsidian statue next to the artifact they plotted to steal. Another organisation where I don't know the boss or other two assets but she's the sole underling.
I have another which is active and I have the boss identified.
Artifact theft wise, I have noticed several things. Cover story determines where the exchange will happen. Last patch, I noticed one exchange with a 'goblin farmer' happening in the fields. So far everything seems to happen in the inn. Had a goblin fish cleaner I decided to randomly interrogate so didn't get a chance to observe what happened with that one. The covers I have seen this update so far are "Fish cleaner", "Lady", "head advisor".
My only inn is deep in the mountain, has an airlock style enterance with an office for captain accessible from the airlock. Usually I just lock the inn door, move captain to office, lock it behind him and let him interrogate without fear people will run away.
Place is well stocked with booze and food so people don't seem to mind lockdowns that much.