I'm not sure what happened, but the merchants are leaving before they got to the depot. At least one of them died, and I suspect that to be the reason.
5 wagons and some mules arrived just moments after I got a message about kobold thieves. For some reason I could see a thief from the very far end of the wilderness. It might have something to do with the caravan guards if they were already there. I've also noticed thieves and caravans arriving at the same time earlier as well.
My soldiers killed three or so thieves, and the merchants and their guards were at the depot at the same time, probably unloading the goods. I didn't need them, really, but I really wanted to have e.g. leather and meat, and any breeding animals they had (I had ordered some). I didn't try trading, but I could order dwarves to bring items to the depot.
Then I noticed that the merchants were leaving. Nothing much happened. One of them died, at least, as there are two bins in the ground - but I don't know who, or how. There's no message about it. I scrolled the whole 'a' from the moment Merchants started unloading their goods, but found nothing relevant.
At the very least, I should have gotten a message and an explanation. Also, it'd have been nice if the caravan hadn't started leaving while the Trade Baroness was still dealing with my dwarves. I'm not sure how they expect her to get home.