What is craft unloading and how should it be handled?

What is craft "unloading" due to being farther that the "physics distance" from the "main craft"? What is the best way to deal with it? Can it be avoided?
I only find very sparse information on these subjects. "Unloading" is mentioned in this answer and is this Scott Manley video.
My problem is this: I have a craft with two probe command modules, one for the rocket and one for a rover. I sent it into orbit around a moon (Laythe). I sent the rover down to the surface. I switched to the space center. I switched to the tracking station. To my horror the rover is nowhere to be found, it has disappeared without a trace!
How can I switch away from my rover without it disappearing?
KSP version 0.90.0, Windows 8, career mode.
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