It would change the way the game plays drastically. Some examples:
It would basically allow you to freely march stacks of infantry up the front without risk. Picture 10 unit stacks of German infantry strolling through Russia - made invincible through surrendering and being liberated on the following turn by German armor and followup infantry if the Russians attempt to defeat you in detail.
It would make amphibious invasions incredibly difficult. Send a small force? Defending infantry beat you back. Send a large force? Defending infantry surrender. Your large force is destroyed on counterattack and the defending infantry are liberated.
Air power would become even more powerful. Japan can hit you with a few infantry and 20 planes, surrender his men when you counter attack, and liberate them on the following turn.
Overall, I think it would push the game even further in favour of the Axis powers.
Ruling captured PoWs could immediately move during the non-combat phase would solve some of this, but then you’d have the opposite problem - they’d reliably make it to the nation’s capital, and the game would likely be over by the time they were liberated.