I have found following: the "Retire" button (unique to experimental) stays "pressed" after visiting depot, so after starting convoi from the depot, it will soon enough return (not immediately, somehow it usually does one round in my game).
Temporary in-game solution: Dis****emble the convoi and ****emble it again. Since it's new convoi, the 'retire' flag is not set. Still, it's a bug :)
Thank you for the report - found and will be fixed in 3.10.