I almost always fire my cap and ball revolvers at a measured 25 yards, and have occasionally found round marks on the target and expired wads lying below the target.
I suspect that the wad stuck to the base of the ball for some distance, then finally let go. Accuracy doesn't seem to be affected by this. A high-speed camera would likely be required to confirm this, unless you were very lucky with a still camera.
At 25 yards, the wad didn't break the target's paper, but a ring of lubricant was evident on the white of the target.
I've also seen wads trail smoke, indicating their lubricant is burning. I've never found any indication of burning on a wool felt wad, but perhaps the lubricant was smoldering in flight. Once or twice I've seen wads land a short distance away, with a small wisp of smoke coming from them. The wisp never lasted long.
For this reason, I try to confine my black powder shooting to the local gravel pit, which is free of dry grass or any tinder that might ignite. Black powder itself produces a lot of sparks and should not be fired over dry grass, leaves, etc. without an extinguisher handy.
A close range, a wad by itself can cause injury. In the 1980s, a TV actor put a .44 Magnum blank up to his head and pulled the trigger as a joke. The wad in the case was blown into his brain, killing him. He and the show were canceled simultaneously.
