We have never had a situation like that with our rescue dog, but it has come quite close before. I remember one time she got loose in Columbus, OH which is a pretty big city and I was terrified we were going to lose her. It's not that I didn't think she would come back, but like you said, so much can happen in that time between she leaves and if/when they come back. I'm glad your friend got their dog back.
I have never lost an animal like that before, even though our dogs and cats were mostly roaming around when I was a kid. It must be stressful.
It's bad because your mind immediately goes to them getting hit by a car or something. It's a pain like I have never felt before. Sometimes the imagining what could happen is worse than what actually happens.