I built three ballphin palaces: one at a time I don't specifically recall, and two in the evening. The first one's ballphin behaved as expected, but the ballphins from the two houses I built in the evening came out the following morning and just... left. I wasn't able to find them afterward, and they don't come home. They headed south by southwest from their homes; the only significance I can discern is that the ballphins who "donated" their fins were originally vaguely in that direction, but I didn't see any homeless ballphins there when I checked. They didn't head for the center of the map either.
Steps to Reproduce
Build ballphin palaces. Try killing existing ballphins in the world first, or building them specifically at night.
This issue has not been confirmed by a developer yet.