I agree with both of you guys... There needs to be a form of option you can check (perhaps) that lets you send him back... But as far as realism goes it kinda sounds lame. He got caught and you just send him back indefinitely...
Would be cool if there was an event once the spy is being caught and there are 2 options: 1 he gets killed and one he escapes and gets back safe (more or less). If the spy gets killed he will be unavailable to be used for a few months (until someone takes his place). Also there should be some prestige/power projection/dip power hit if your spy gets caught OR a bonus you catch someone's spy.
Hopefully they will, one day, make a DLC specially for the whole assassination/spying area because at this point it's kind of a joke...