I'm suggesting that, after a certain point, after we've done all we can, even if we're still looking and trying to figure out other possible avenues, it wouldn't be a horrible idea to sit them down and tell them what we're looking at. Sudden, unexplained travel between dimensions is something that happens, and we might be up against something that's beyond our ability to find, that could literally make someone disappear into thin air. There are a lot of reasons why that could have happened.
I think we have a professional responsibility to tell them that, whether it makes them feel better or not.