I am interpreting it as 'someone is threatening the merchant' more than 'the merchant is the bad guy'. You are signed on to help the merchant, I am not a fan of 'betrayals by your employer'.
The 'next of kin' documents are meant to be back in town, safe in the event something happens to the caravan. Someone back there needs to pay your family, and that gets hard if the documents get burned up by the same dragon that ate the caravan... um, ignore that last bit. The merchant at least got that bit right.
More evidence of Calum's nefariousness will come to light as you look into where the map leads. He was also the last to sign on and the last to handle the paperwork, and you all saw the (not very well guarded) pile of papers as you were signing up. Why is he so highly regarded by the captain and merchant? Who back home recommended him? Does the merchant have enemies? ¯\\_(ツ)_/¯
I doubt the captain would have called Alycne (different spelling on the Character Menu?) to look at the map if she knew she was the target. The rest seems reasonable, but there is very little to suggest a kidnap rather than a theft, we will need to play to find out.