This isn't a bug that is likely to come up very often, but here goes anyway: While playing France, I invaded Sardinia with a large army, and lost the battle. The troops tried to retreat into the fleet offshore, but that fleet lost a naval battle while the retreat was going on, and itself left the sea zone. The army then kept trying to retreat, and became useless. It wouldn't embark on ships when I moved them back into the sea zone, and it couldn't stop moving. The only thing to do was disband them.
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