What version of the game are you playing? In version 1.41, no one, neither from the castle nor from other heroes, ran away.
There's no point in building dwellings for improved creatures in the Knight's Castle. Unless you build the cheapest ones to increase the city's level. Anyway, they all need to be turned into undead.
Version 1.41. They were running away from the Knight's Castle. If I took additional heroes and gave them the creatures, everything was fine.
