I was wandering around Sanctuary, and settlers were saying 'I hope you're here to help', etc. However, there was nobody standing off by themselves waiting to tell me that their friend was kidnapped. I walked all around the settlement. So, I went off and did some quests, came back. People were still saying it. So I checked again, and sure enough there was someone over on the road by the vault 111 path, as he should be.
However; It was not a settler from sanctuary. it was one from Starlight Drive in. He originally was a Sanctuary settler (not a named original, just 'settler'), but was moved. This was confirmed when the turn in for the quest after I rescued her read 'Report back to settlers at sanctuary hills', but the marker was at Starlight. Sure enough, it was the same dude. My artillery gunner.
So, I suspect that the first time I was hearing complaining in sanctuary, I was unable to find him because he was pathing from Starlight to Sanctuary to tell me about it.
The whole kidnapping bit feels really clunky. Ignoring that raiders somehow wandered into Sanctuary and abducted a guard without anybody raising the alarm (I know it's just a scripted thing, but it feels so ham-fisted), the actual mechanics of receiving the quest is very awkward.
Occasionally I hear the sad bong of a quest failure, but get no message. I'm now assuming these are settlement quests failing from other places that I just never knew were even a problem. It would also explain random Happiness drops I'm getting in otherwise stable settlements.