Those who dare enter Lorien

[Legate of Amon Lanc]

I would think that the story of "disappearing people" is more like a spooky story unfolded by superstitious Eorlings and Gondorians and such. But, still I think it may be that this thing really happened to a few people (the legends are likely to have at least some real basis, right), and in that case I would say: if they came with evil intent (like raiders or something), I would expect their fate to be that of the Orcs. But in other cases, I would go for the last reason you state - that they remained of their free (?) will - I am placing here the question mark, because I could see them falling under some sort of enchantment in Lórien, and either wandering the borders without knowing where they are and where to go, until they die from starvation, or for example sitting in the middle of a glade and turning to stone or falling into a state similar to it, you know... Let's not forget that it's improbable, if not impossible, that a Man would actually live in Lórien among the Elves. That is close to unimaginable.