I fast-traveled to a newly annexed settlement, and got out of my power armor because I was going to be running around building new structures, and didn't want to drain my fusion core. Shortly after I was done, nearby Raiders attacked the settlement. I fought them off without running for my power armor. When I went looking for it, it was gone.

I'm assuming that one of the settlers took it, but I didn't see anyone running around in it. In any case it vanished, and trying various things like save / reload or fast-traveling away and back did not restore it. I had to revert to a previous save game.

Whenever you park your power armor anywhere, always take the fusion core with you. Think of it as taking your keys with you when you park your car.