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An odd one for you guys.

What happens if I have 3 independent characters joined to a single unit, that is subsequently destroyed?

Example: Two Tau commanders from the primary detachment, plus an allied Tau commander from the Farsight Supplement join a Bodyguard unit. The 2 bodyguards are the lead element, and are removed as casualties.

When do the three commanders separate, or do they remain a single unit as they were joined to a unit and did not leave it at the time the unit was destroyed?

They remain a unit until they can leave the unit.

They can leave at the normal time (In the movement phase).

Several independent characters can join to form a unit of characters, so I see no reason they'd split if the bodyguards died

 B0B MaRlEy wrote:
Several independent characters can join to form a unit of characters, so I see no reason they'd split if the bodyguards died

Indeed you are correct. They can't split even if you wanted them to until their movement phase.