I've had a couple of these too now (Windows 7 and 1.16), from a dwarven liason and some elves. Haven't tried 1.17 yet - it's purely tileset updates I believe?
I'll get a message that the liaison/diplomat is here and the SoundSense horse-tack jingle noise, but no units in the U screen when I go to check on the merchants. The liaison will work normally (have a chat etc) most of the time, sometimes they don't appear either.
Then after a period I'll get the warning the merchants are about to leave, but still no units on the U screen or anything visible on the map.
I could be wrong, but it's possibly related to / looks like one of the other diplomats was hanging around for too long from a previous visit (had a clear path to leave). Does that prevent anything else queued up after spawning correctly or working until they go? This happened last night so I'm a bit vague on the exact details. When I checked the U screen for the invisible merchants the final time, the old diplomat had gone too, so I'm not 100% sure that's it.