Daang, that's kinda counterintuitive.
I figured that I'd have better luck with covert mission if I go alone with just a bunch of scouts rather than with an army.
If you have no guards to protect you, you're going to get captured.
If you have a unit, you're likely to get skirmished (and also captured), or simply involved in a battle.
Infiltrator skill makes it less likely that you will get captured as a lone commander in enemy territory, but there is no way to eliminate the risk entirely.