There's currently a bug fest surrounding sending squads out of the fortress on missions, with severe crashes, equipment allocation trouble (including, I believe, allocation of the same piece of equipment to multiple dorfs). In addition to that, dorfs returning drop equipment left, right, and center, and room allocations are removed as squad members leave. I suspect the same issues occur for messengers.
I'd suggest squad members offsite should be retained in the fortress in the "inactive" state (like inbound performance troupe members, merchants, etc.) while on a mission, and be removed from the fortress only when they're reported dead or become members of another entity (i.e. occupy a site or are reported to side with an entity they've been imprisoned by, if that happens).
This ought to mean that offsite fortress members would retain their rooms and private/squad equipment, and would just keep those when returning (as well as not being considered new citizens). Once units are removed from the fortress, their equipment should be either confiscated by the fortress (as if they'd died), or removed from the fortress (if the items were carried offsite). Squad allocated equipment would likewise either be returned to the fortress if it remains locally (and, I guess, still allocated to the squad position), or removed from the fortress and squad if offsite.
Occupying squad members returned by a messenger as "workers" would be "new" members of the fortress (as opposed to the messenger, who'd just return), as they'd have been removed from the fortress when they occupied the site (unless there's a new mission state where squads may be on occupation duty, while still members of the fortress, as I think I've seen suggested somewhere, in which they'd just return when the squad is recalled), and their equipment would be "new" equipment from the fortress perspective (again, as it would have been removed when they became members of the site).
The purpose of this suggestion is to make it easier to manage offsite assets for the player (room allocation, returning squad members ought to retain their equipment and only drop things as part of the upgrading cycle, etc.), as well as to possibly provide an easier way to address some of the bugs associated with missions.