I suppose it depends on which English dialect you're aiming to achieve. Sergey is right; the second question is awkward and maybe wordy. The first one is quite natural... that is, if you're speaking the British variety of English. In American English one would more likely say/hear: "Where did he go?" "Where do you think he went?" "Where could he have gone?"...like I said, the ones you've submitted work, but for the sake of fun and dialects, my American ears would immediately be tickled by the "where might" construction.