Bigfinish audios
Do the explain Sapphire and Steel escaping?
No. From memory they do make a passing comment about it, but it is very generic and non specific.
Def
UTV
I've not listened to the Big Finish audio adventures, but I'm sure I remember reading somewhere (maybe Wikipedia?) that in the final Big Finish story it's revealed that all of the audio adventures have been illusions created by their captors, and Sapphire & Steel are actually still trapped in the cafe.
http://hexfan.proboards.com/