As much as I like they idea... unless you can loot their initial gun and ammo, and all the gaurd's guns and ammo etc... I wouldn't vote yes.
I agree, the weapons and supplies the merchant had to sell wouldn't be lootable,but only the basic gun she was weilding and the little bit of ammo for that gun would be lootable.
Or put all the loot inside a locked caravan, so you have to have someone with Lockpick to unlock it. Maybe the high level caravans could be trapped with explosives, so the whole cart explodes if you don't have the appropriate skill. Kinda encourage the lockpick and explosive skills.
Caravans main goal is to mvoe from one city to another city, not to go in the desert to trade. That's why, imo, they shouldn't even trade their goods with you.
Trading with one poor guy in the desert is only slowing them ;p
But the idea is that they do anyways but there aint shit to buy.