unless you need to gamble, like say you only have 4 cheese left till game over, it's probably not right to explore with someone captured. Just take the extra cheese on the wheel, it's much better than being down a mouse for a whole tile.
The only time in which I would recommend this is if you are crossing through a previously explored room and have no enemies to fear.
The original online Rulebook stated that "Rescuing a Mouse: If a mouse is captured, that mouse is automatically rescued as soon as there are no longer minions on the board. Place it on the same space as another mouse or on a space adjacent to another mouse."
Not sure why they decided to change this rule in the final version as surely this makes more sense thematically? ie the mouse comes back as soon as all the minions that captured him are defeated?
I can see that it makes it more difficult in that you can trigger a surge in the meantime due to the extra cheese you take at the end of the initiative track whilst waiting for that mouse's turn to come round again. Guess I'll just houserule the rule as originally written (unless I'm missing anything that makes such a houserule a gamebreaker?).