When when the chosen capture your soldiers, you don't always get a chance to rescue them right away. I once had the rescue mission (for base WOTC) show up a few days after the chosen captured my soldier, and another time i didn't get it for half the game.

Covert actions are random, so you gotta get a bit lucky, but this should give you an extra chance to get them rescued, besides waiting for the councilman to give you a rescue mission.

Ok, thanks :) and can i rescue them even if is the chosen who capcured them dead?

https://steamhost.cn/steamcommunity_com/sharedfiles/filedetails/?id=1136550654 This mod is a perfect answer to that problem and it works just fine with Covert Action Missions (so far at least). I tested it by deliberately getting a starting rookie captured the first time I ran into sectoid abductors and the rescue mission popped almost immediately.