Agreed. Native speakers do indeed use structures like a., dangling participles,
Originally Posted by RonBee
a. Returning from my room, my watch was missing.
Cf. My watch was missing returning from my room.
but given that it's a test question, that formal English is expected, my choice under those circumstances would be c. :
c. (Upon) returning to my room, I found (that) my watch (was) missing.
A participial phrase modifies the subject of the main clause:
(upon) returning to my room
found (that) my watch (was) missing.
Choice d. doesn't work, because the past participle disappeared is suspect. Omit had from had disappeared and the meaning changes (See blouen's account).
d. (Upon) returning to my room, I found (that) my watch disappeared (right before my very eyes).