So lets piece this together a bit more we have the facts:
Blazing Battle axe in the sky, and on the unknown mans chest.
Man vanishes but no harm to the messenger.
Messenger stalks myself in market yet doesn’t make himself known until he is caught.
Messenger seems sincere in his story.
Bad ass grey agent goes to investigate and doesn’t check in at given times and has yet to return.
Grey you feel certain this messenger was telling the truth and no sense of coercion?