There's a reason most shows/comics/movies cut to the kidnapped character often in these cases: what you're describing is pretty hard to do. Some shows can't make people care about their main characters, much less side characters.
I'd recommend giving the missing character some important role in the group. Something to show that the group dynamic is thrown off without them. Even if it's moral support, showing what would normally be a cheerful scene have dead air the missing person would normally fill can do it.
As weird as this sounds, making the group less interesting could work. As long as you don't shift the tone too hard, it would make the audience want the character back. Be careful, though: a scene intentionally written to be bad, done successfully, is a bad scene.>>100910409
Fuck you, I wrote all this and now you're going to read it.