Several things for you. Some are answers and some are questions.

First, in Joane Chiles Eakins' landmark 1995 "Missouri Prisoners of War," an alphabetized arrangement of the National Archives and Records Administration's microfilmed collection of Union military prison ledgers, I found this entry which I will paraphrase:

--Citizen Thomas W. Conner of Callaway County; arrested there 5 August 1862; sent to Gratiot Street Military Prison (formerly McDowell Medical College) in St. Louis; with the remark that he was paroled 31 October 1862.

I found no entry for Peter Rice in this source.

So, if Thomas Conner really died of disease in a jail or prison, then it was after October 1862 when Conner got his "get out of jail free" card. That is possible, because after he spent time in the Federal military prison he was a marked man, and Union troops in his area would probably consider him one of "the usual suspects" for any southern shenanigans in his neighborhood. The old Union military ledgers did not alway catch everything they should have. You have to also face the possibility that maybe he didn't die in jail or prison of disease.

Another point about Conner is that he was released on parole without having to further attest to his future good behaviour with an oath and bond, as many other civilians had to do to get out of prison. Also, his status is listed in prison records as "citizen" and not "Private" or "Guerrilla." To me, this means that the Union military didn't really know what war status Conner fit into, so after keeping him some weeks they hoped he learned his lesson not to play with Rebels and released him on parole. Maybe all they had on Conner was Zumwalt's affidavit, and maybe they had doubts about Zumwalt's statement.

Second, how do you know any of your ancestors were in Alvin Cobb's band? You said Zumwalt's affidavit of 6 August 1862 said those men "...were to join guerrilla bands under Cobb and Porter." Cobb's band was localized and contained mostly Montgomery and Warren County men, and perhaps some from Callaway County. Cobb joined his band of 75 men to Confederate Colonel Joseph Crisman Porter's large recruiting command when it came into the Callaway County area on 25 July 1862, then after the Battle of Moore's Mill on Auxvasse Creek ten miles from Fulton in Callaway County on 28 July, Cobb pulled what was left of his men out and left Porter's command in disgust. Cobb usually operated as an independent, so this was in character for him. Local men like Zumwalt would have known of Cobb operating in their home area, and would have heard that Joe Porter was operating across a large part of NE MO and that Porter brought his command south to Callaway County on 25 July. What I'm saying is that when Zumwalt said these guys were planning to join southern forces, he just used the term "Cobb and Porter" because Zumwalt really didn't know into which southern group those men were planning to join. Is that possible?

Third, and not to get complicated, but something else was at play here. Union Department of the Missouri General Orders Number 19 issued on July 22 required ALL Missouri able-bodied men to enroll at their nearest enrolling station (most every county seat) into the newly-created Enrolled Missouri Militia (EMM). With this order, the Dept. of the Missouri commander, working with the provisional governor of the state, created an emergency state army of many thousands of men to counter all the southern guerrillas and Confederate behind-Union-lines recruiters then active across much of the state and in effect created mandated universal military service for all men. This meant that nobody could be neutral anymore--they had to decide if they would support the Union, the Confederacy, or "get out of Dodge," as we say now.
What Mr. Zumwalt was probably reporting was that those men were discussing which of those options they would take. There is nothing to say what they decided or what they finally chose to do, unless you have more information.

So, does that help, or is there more to consider?

Bruce