This is off topic for dfhack, I believe.
But just to chip in because the comments are here - Dwarf Therapist can cause this issue.
I'm not sure of the how but I have experienced it myself (infrequently). Best practice is not to refresh DT (nor to save DF for that matter...) whilst migrants are arriving - that is until you are certain that all new arrivals are on the map. DT was changed (34.0, I think) to show the entire migration wave once they have started to arrive (and if memory serves you can actually see the migrant wave shortly before they are announced and start to arrive on the map) but did not address this problem.
I also advise against refreshing DT whilst the caravan is departing as this can cause oddness, at least as far as DT information display is concerned. Although once it caused me serious 'game-ending' problems. In this case making a save as a backup should be fine (I think) if you want to try your luck with DT, since it is often ok.
If the unit-id of the missing dwarf can be ascertained then I would suggest using 'teleport' to bring them onto the map and all should be good. Getting the unit-id could be tricky though? Patrik, I seem to remember you dealing with this problem for the missing merchants, am I wrong? Or is there a shortcut where the dwarf will have unit-id one higher than the other dwarf of the migrant wave...?