Did you watch the credits, and see the scene of the agents arriving at the site and finding Micah's body? I'd assume they probably took it with them, as proof that a dangerous outlaw was no longer on the loose...

I think that maybe when the Pinkerton found him the did some thing with him

The agents likely did not do anything with Micah's body as you can revisit it after the Ending Credits before his body disappears.

Maybe they went back to where ever and sent other agents to collect the body at a later time

Wolves ate his body

Ok

Good to know

Hopefully these answer his question

Probably was a glitch unless you already went there to take his gun, idk I've never been able to find the mountain again :P