I think it'd honestly depend on the person! Some people would of course just not be suited to the PPC- plotholes come, plotholes go, and it's just as easy to go back as it is to wander in in the first place- if not moreso, if someone notices.
As for their disappearance in the real world?
Again, that depends.
Like you said, missing person reports happen. And plenty of people in fact do just go... missing one day. We know the real world causes, of course: They get kidnapped, they ran away, an accident happened and they got seriously injured or died in the process, and so forth. But there are still mysteries in this day and age that we have no explanation for, no clues.
Maybe your agent character from World One (because from our perspective, at least, our world is the real world, and the world intended to be the real world is World One) is one of those people.
Or maybe they go back.
Agents are not held in HQ against their will. There's nothing preventing them from just giving up the job and going home or to any number of canons. A certain someone from TOS retired into ancient Rome, after all. I can't remember where Dafydd and Constance retired to (but hS will no doubt come around to correct me) but I rather supect it was not World One, nor was it Middle-Earth.
And a thing with hieing off is that, not everyone thinks about the potential consequences of running off for an adventure- especially teenagers! They might get scared, but they have the option to leave if they want to, or sometimes don't think they do. This goes for the real world, as well. I'm on an adventure right now, and one I didn't exactly think out all the possibiities and consequences of out before I left for it.
As for what you're saying about agents going home occasionally or disappearing someplace likely, both are very possible! In fact, people have used both before this.
To use my own example, Agent July, when she ran off from HQ after snapping, she eventually ended up back in World One- timed right after she had left, despite a few months in the PPC. She also spilled the beans- both things that pretty much eliminate the worry of becoming a missing person.
That said, you don't really need to explain this sort of thing. You can in fact skip it if you don't want to go into this sort of detail. How a person ends up in the PPC doesn't tend to play into whatever story arc or plot you're doing with your spinoff, generally, though it can also be fun to write if you want.
This is most definitely an excellent thing to bring up, though!
-July