I don't think burrowing vampire soldiers is 100% safe. I had two vampires that I located, assigned to military, and burrowed on the surface level as soon as they arrived (I always nickname my prospective military recruits, and they both had military skills). I never caught them red-handed leaving their burrows, but four Z-levels down and 30 x/y away in my bedrooms I'd lose about a dwarf every two seasons to being blood-drained.
I've since locked the two vampires in their own barracks, they've been training about nonstop since (so far no sparring sadly), and it's been a year or so since anybody's been bit.
In Deity relationships there should be only one unidentified vampire dwarf left in my civ, and after hours spent screening all my other dwarves (making sure they'd all used a dining room, had a nice meal, drink, slept, etc lately, assigning nicknames to anyone suspicious), I could not locate another vampire in my fort.
In short, pretty sure that my burrowed vampire soldiers were draining dwarves that were sleeping a long way away from their burrows.