Well, the FAQ answer reads "The hero continues his turn as if he had defeated his opponent in combat. The movement from the card is not treated as a travel step and will not trigger combat or peril in the new location."
The manual (p.29) reads the folowing: "If the monster or minion was not defeated, then Sauron may immediately place an amount of influence equal to his combatant’s wisdom in extension of Shadow Strongholds."
My interpretation is that, by playing Retreat, the minion is considered defeated in combat, therefore Sauron does not spread influence. It's like the hero made a tactical, planned, surprising retreat, leaving the minion moraly defeated and unable to spread fear through Middle Earth.
But the truth is the FAQ does not give a direct answer to that question, and a quick search in the BGG forums shows that there is no consensus among the players.
I sent this question to FFG staff, so let's wait for their answer. Meanwhile, I believe the best way to handle this problem is to house-rule this matter with your friends before you choose who'll play as Sauron next time.