Actually, I don't think the king disappears. The same peasants that go into the village come out of the village, same prisoners, same everything.
I've seen a party of village farmers with 9 peasants with about 91 rhodoks as prisoners walk around, I've followed them, and they stay that way, they enter a village, and come back out the same way.
(I decided to test if they stay the same when they enter and leave a village by pressing the surrender button.)