In a break siege, you die if your forces retreat. It's explicitly stated in the manual. (What the manual doesn't say is that if you have a neighboring province to retreat to, it's possible to escape to that province from a failed break siege.)
I think the reasoning may be that it's needed to prevent something like scripting a bunch of mages in the back line to pop off some Swarms or Lammashtas, before running back into the castle.
Or maybe, once you leave the castle, some cowards close and lock the doors behind you.
