This certainly does not right true to any tales which I have heard, but that does not mean it is not. I would not imagine this story to be one offered up lightly, even unto those who once seem to carry Odin's favor. Though I have also not heard of the Avengers carrying on throughout the realms as we might. Your suggestion that Odin is being held somewhere would make sense, were it not for the turn where t'was Loki who freed him. Unless it was to serve some plot, which I would hardly place beyond his vision, I find it highly unlikely this would be happen. Where I hail from, t'was Loki who deceived us all by adopting the All-Father's form when we thought he had sacrificed himself against Malekith and the Dark Elves.
Does any of this sound like the history which you know?