Hi Joe - welcome to the forums!
To address the first part of your post...when monarch caterpillars are finished feeding and ready to pupate they tend to wander off the plant and may go some distance - horizontally or vertically - before they find a suitable location to pupate. It is not uncommon to find them on window screens or under the eaves of a house.
As far as a monarch butterfly carrying a caterpillar goes, I haven't witnessed this myself and have never heard of such a thing. If you ever confirm or find other references to this behavior please let us know!