It happened again, only this time it didn't go to the starting settlement to trigger it. I just finished the quest and got told it was being attacked. Uploaded under Escort Caravan Quest bug OMGtechy.
I don't currently have a same where this is about to happen / has recently happened. I do have one where it's happened in the past though. I've uploaded that one under "Escort Merchant Caravan: Quest completed, but not completed, but completed (you know?) 1" - if I get a chance to make a save of one where it's just happened I will add it here.