What happens if you attack a chosen stronghold before saving a captured soldier?
Despite what you might think, captive soldiers aren't actually held in the Chosen's personal stronghold -- they use Advent facilities for that. (Nor are you guaranteed to run into the chosen on rescue missions targeting that soldier).
The mission should still be accessible via covert ops (and may even be safer, since you've already dealt with the Chosen), but they won't get automatically saved once their kidnapper breathes their last.