Two things that happen quite often to me.
one you set your caravan to go to an allies TC. The caravan makes the trip reachs the tc picks up gold then stops all togeather. it won't return you have to lasso the tc again and again click on the tc then they will go back to the market. Sometimes this will get the caravan going permantly or atleast for awhile and other times it will just make the drop, come back and stop again. This happens regualrly and it is a pain to have to give your caravan so much attention.
The other is when you have say 4 settlemens in a row. You set you caravan to go to the farthest TC to get the best bang for your buck. But then come back and you check there supply of gold it says only like 22. I had this happen in a game earlier today. Where after demolishing an opponents base i suddenly ran out of gold. When i chacked my caravan it was only showing 22 gold. After my teammate resighned and the two tcs in the middle suddenly became available. The gold my caravan was cxarrying spiked from 22 to 164. making the same distance. Im assuming that the caravan was giving me the trade value for the closest tc rather than the farthest one even though it still made the long trip.