I had a similar experience, but in reverse... I was defending, and all that remained were my summoned creatures. After the battle, my hero didn't disappear, but stood in the castle with absolutely no troops... But as far as I remember, I couldn't move him out of the castle until I bought him a new army... Although, once, I had a glitch where I was playing as the Dungeon faction... I moved all my troops into the skeleton converter, and at that moment, my time limit ran out... all the troops simply disappeared, and the hero was free to roam the map without any troops...

In short, the answer to your question is that the hero doesn't disappear from the castle, but whether he can leave afterwards until he buys an army, I don't know for sure...