During one particularly active year for the goblins they sieged my fort when an Elven caravan was trading and again later that same year when my Dwarven caravan was trading. Both times the caravans were devastated (outside depot with only a single row of traps between it and the gobs) before my soldiers could drive them off, but not completely eliminated. Each time the fleeing merchants ducked inside the main doors of my fort to escape the goblins.
Oddly, instead of packing up what they could and leaving once the coast was clear the merchants simply loitered just inside the entrance to my fort and ignored all of their stuff, leaving it inside the depot. I did receive messages about them packing up and them having "left" even though they made no move to do either action. At first I ignored the problem, but then I noticed that both the Elven and Dwarven caravans were skipping me when it next came time to trade! No messages were given about an unreachable site or anything, they simply never showed up. The humans, on the other hand, had no problems trading in my depot and showed up at they correct times over the next two years.
After being skipped twice by the Elves and once by the Dwarves I finally started to look into correcting the problem. After trying a few different things I found that removing the trade depot fixed the issue. The 8 or so Dwarven and Elven traders lead their animals off the map without any complaint. They left their items behind in the depot, which up until that point were still listed as being traded, they became my property as soon as the depot was unbuilt.
Outside of the merchants never leaving and new caravans from their races not showing up I noticed a few other odd things. The merchants didn't move a whole lot, they just kind of idled in place only moving a few tiles this way or that, same goes for their animals. I don't think any of them wandered more then 15 times away from the doors to my fort the 1-2 years they were their. They also didn't eat, drink or complain about not having supplies. No colored arrows appeared over them nor did any die, go insane or anything like that. The animals were a bit different, after a few months they started popping out babies! Before long there were easily 15+ baby merchant animals (they were listed as merchants, not property of my fort or wild animals) clogging my main entrance! All of the animals left when the depot was removed.
While the bug is easily fixable in game it is a bit of an odd one. Maybe it was because they were inside th fortress and the depot was outside that they wouldn't leave?
Playing DF 40d11 for windows, with only maydays graphics pack installed (just copied the graphics and art folders over from my old install, .ini was modified by hand and is not moved over from the older install) and Dwarf Managed used.