What if the caravan that left ahead of them belongs to this villainous character who wants the magic item?
The raiders (hired by the princess' lover) mistakenly attack the villain's caravan and are slaughtered. The villain's henchmen (referred to as the "bad guys" from now on) disguise themselves as the raiders (now the semi-bad guys). The bad guys attack the caravan with the PCs in it, the villain disguised as the princess' lover. She allows herself to be captured, and the villain escapes with her (and the magic item), but leaves his henchmen behind. This gives the PCs an opportunity to defeat the bad guys without requiring the raid to succeed and allows them to capture an enemy to interrogate. Of course, now the PCs must rescue the princess from the villain, who has the magic item.
As to how to secrete the magic item about the person of the princess, it could be clothing, something she wears in her hair, jewelry, a false tooth/glass eye, or perhaps she IS the magic item. She might be a golem or the item might have been polymorphed into her (why, I don't know.) As a final idea, perhaps the item causes inconvenient things to happen to the possessor; the baron had it, his daughter fell in love; she had it, the villain overheard her conversation; the villain has it, the PCs show up; you get the idea. Whether the item has redeeming properties or the baron simply wishes to spread chaos through his future son-in-law's land (for whatever reason) is up to you.