This bug seems to be caused by saving the game at the same day as you form a new country and then loading that save game. If you wait one more day, all busy missionaries automatically return, but they don't return when you load the save from the day of the country formation. To avoid losing the missionaries you just have to wait one day after forming a new country before you save and exit the game.
I think I found a workaround that can give you your missionaries back: lose a missionary(e.g. losing defender of the faith or losing the provinces which give you the missionary) while all the missionaries that you still have are occupied and then get the missionary back. Each time you do that, you get one of your missionaries back.
Does this also help in you game?
Disclaimer: I'm not working for Paradox. I'm just trying to help people.