With all due respect, I can't agree, Dale. It all depends on the context. If you were asking about someone you expected to be in the same place as you, then it would certainly mean what you said. But if I said, for example, "he went to the hairdresser's a few days ago," and you didn't understand the whole sentence because I mispronounced the word 'hairdresser's' or I said it very unclearly, then you might ask, "where did he go" and you definitely wouldn't mean "Do you know where he is now/Why has he disappeared?"It only means "Do you know where he is now/Why has he disappeared"
It seems to me that if the goal is to know where he is now, you ask, "Where did he go?"
The answers might be "to the Hairdresser's" or "Into the cave", and so on. The preposition used in the answer is not necessarily reflected in the question.
Actually, I used a similar question, except I added the word 'place': What place did he go into? Does it sound natural?If there are several places he might have gone into -- a barn, a store, a cave -- and you know that he was in one of them, then you might as "What did he enter/go into?" The answer would name the place he entered.
Is it possible to use 'which way' instead of 'where' in the above question to mean the same thing: Which way did he go in?The question "Where did he enter/go in?" assumes that you know the location, but you don't know which entrance he used.