yeah he's not a main character or vassal.. just like a sidekick for a particular lord think mormont

lol did you expect him to have a full conversation

He comes with you on a quest, but after that he just vanished for me.

You're going to have to wait until he is released. If Marmont is with him, I believe you might be able to help him escape, but its going to be a waiting game. Sometimes though, when you go into the game files and edit things, the game glitches.

You can only rescue lords who are prisoners. Quite a few lords, Lord Commander Mormont being one, have companions, just like you do in your party. The companions can not be rescued, only the lords. Jon Snow does not become a lord until after Mormont dies. Until then, he is just a companion. The quest where Mormont sends Jon Snow beyond the wall with you does works, even if Jon Snow is a prisoner. There just will be two Jon Snows for a while.