No. They have to stay with the retinue until they (retinue) are killed, and cannot break unit cohesion nor join (with their retinue) another unit.
From the on line FAQ:
6. Note that Independent Characters with their own retinue do not entirely cease
to be Independent Characters. The statement to this effect in various
Codexes is really only there to indicate they may not wander off and leave
their retinue, instead staying in unit coherency. If the retinue is wiped out, the
Independent Character status is reinstated. The character and retinue are
counted separately for victory point purposes so if the retinue is wiped but the
character is unhurt you would get the VP for the retinue and not half of the VP
for the character and unit combined.
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