I have a copy of a handwritten map of Rienzi,MS.dated June 10,1862 by my GGGrandfather in the 36 IL.Inf.showing the regiments, artillery and in reference to this post an area next to the depot listed as Captives which is next to a cavalry regiment.So your idea of holding pens might be a good one at least temporarily.I also know that orders were given to pickets as to not interfear with Confederate straglers trying to return to there homes etc. So the Federals didn't want them.It is hard to imagine releasing in the field to go back and repatriat with the army you are fighting but, that is the case.Hugh is correct.