Some reasons a man (especially a younger son) might ride off on a horse and not come back:

He got thrown and was lying injured somewhere.
Waylaid by robbers.
Hated his family, met with a pal, headed south to become a businessman.
He's off wi' the gypsy laddie oh.
Being truly bonny, he was lured by a rich woman to become her paramour, and they moved France.

By the way, if the MacDonalds lynched him, why didn't they steal the valuable horse, saddle and bridle?

In the end, the song is much more moving and memorable when George simply goes missing and nobody knows why. Someday, perhaps, nations will build The Tomb of the Unknown Civilian for people like George.