Although I recalled seeing an update (long ago now) in which it was once again made possible to visit adjacent settlements while guarding caravans, I had never been aware of that possibility before that time, and even afterwards it never seemed to work, so that I assumed the function had been removed again. That was until only a day or two ago, when I paused the game while the caravan was right on top of a settlement, and zoomed in to the max level, and clicked the cursor firmly on the settlement several times … until, to my amazement, it actually was possible to enter the settlement.
Possibly the function is unusually crap on my computer. I’m not sure.
If I’m not highly zoomed in and right atop the settlement, and if the game isn’t paused, it seems to be impossible to enter a town during a caravan mission. Also, in addition to this practical difficulty even when you’re aware of the possibility of entering towns, there’s nothing to make it obvious that you should be able to enter towns. Maybe, when the caravan is close enough to the town, the cursor (when hovering by the town) could alter and/or display text in a way that advertises the function?