Yup - if your spies and assassins accompany your invading army you will loose a number of them to border forts, etc. Best to have them sitting in the adjacent province. Besides, their chances of success are pretty slim during the first year of most seiges, especially if you are seiging something big (like a fortress or citadel).
(Higher valor spies and assassins are better at sneaking past border forts, but some still get caught.)
EDIT - BTW, thanks for the good advice regarding seige arty. One of my player shortcomings is that I rarely seem to have built or bought enough arty, so my assaults get awfully bloody. Probably part of the reason I tend to rely so much on agents. Besides, I love getting all the goodies with a province - I hate capturing then and then having to rebuild everything (especially ports).
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