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.