I also had this problem.

Here is a savegame.

http://dl.dropbox.com/u/9038574/CaravanNotWorking.EleSav

The caravan in the southern city  (Agaro) does not work. It was sent from Cayaela. Note that the caravan was built before the city of Agaro was founded. It might berelated as the same thing happened in an earlier game with an caravan that was built priorto the destination city. I will test this out by building a new caravan and report back later.

You might also take a look at my souvereign, woh is obviosly missing his skin texture, but i will also report this in another thread.

Oh and finaly Janusk and his companion were captured in this savegame by expanding borders, i think this should not happen.