This would be a great feature, also what would be cool, is you could go into adventure mode, and build a fort on your own.
Then go back to the main menu and start a fortress there.
Or maybe just set out on your own as a lone adventure, and make your own fort. Which then can receive immigrants if you contact the liaison of your home settlement or some such. Once you contact him you ask him to send some immigrants and setup a trade route to your new fort / home.
Then every year your liaison and the immigrants you ordered comes. Then you can re order more immigrants and such.
This would/could work just like fortress mode, but instead you being a unseen force, you literally have a character in game.
I really think this would be a great thing
Just to add to this, i also wouldn't mind being able to build my own caravans, and setup my own trade routes. Where i send the caravan / wagon out to go trade with other towns on the main map. You could load the wagons up with Food and Drink for them to eat, and then also trade goods that you want to trade. Then you also can set what you want them to trade for.
There would also be risk in this id hope, if you send out a caravan theres a chance it could be attacked or some such.
If you don't have any guards sent with the caravan then you will lose all your stuff.
Also id like to see a init variable, which lets you set the frequency at which your caravan would be attacked, or if it would be attacked at all.