It's pretty tough to figure out where a fish has gone once you've had contact with it. I'm pretty sure there is no definitive answer, and they probably go up or down at any given time. I think it's impossible to know, but I will give a couple examples that might help you find the answer to your question....
I have had the opportunity to observe steelhead that were spooked on a couple of occasions that I remember clearly. In these cases they were spooked by movement along the shoreline and moved upstream under the chop really quickly. They were however sitting close to the tailout when spooked, so that may have had a lot to do with the direction the fish chose to go.
On a couple of other occasions I have seen fish hooked, played and lost in a pool with several anglers working the water hard. As many of us have probably experienced at some time or another, once the fresh or untouched fish have been "stung" by a hook the fishing will turn off and we are left wondering where they went. Hence your question. We never really know where unless we find them though right? Well, in those times that I have managed to find them after they were stung, they were sitting under the fast water in a very rapidly moving current seam, in about 1-2 feet of water BELOW THE TAILOUT of the pool they were hooked in.
Now having said that, keep in mind they aren't always there obviously, and more often than not they are nowhere to be found. I do feel though that considering where in the pool a fish was hooked, and the amount of angling pressure immediately above and below a fish that has been "stung" will improve an anglers chances of finding them.
On one other occassion I found a fish above a major pool that had stopped producing earlier in the day. I found it in a very, very narrow slick between two fast water seams. So perhaps surface cover is a common denominator.
Hopefully these examples of a few first hand experiences will help you in your search for the answer to this question. I almost always work the fast water below a tailout hard in these cases, especially if I notice a subtle "flat spot" in the level of the flow. You really can't tell if you've found fish that were stung, or if you just found one away from all the others, but in these few examples, I am fairly certain these fish had been stung already and were seeking cover.
Hopefully these instances help you out Steelieman, but if you really want to get down to it, I'd start taking notes. Keep a journal covering this very question, and note everything you notice about these stung fish, ie: where you drifted when you found them, and even where you fished when you didn't find them. You might start to see a pattern in where you find them more often than not...
Hope that makes sense,
great question...
thx,
rib