One way to test different types of walls (updated from File:Test-chamber-2.jpg)
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Yup, they climb the walls. See the blue one at the top? He's climbing out. Better to put an edge...
It's not despawning, but if you notice trapped mobs disappearing, this might be what happened...
It looks loke your entrances are only 2 or 3 blocks high. That will keep astronauts out. In this...