Well if the roads are poor and there are lots of bandits and goblins in the woods that merchant will likely have guards and be more suspicious. If the roads are well kept and there is a good military patrolling the roads he may be less suspicious of fellow travellers. The more general framework you have laid out before hand the easier it will be to answer these questions on the fly.
Imagine the campaign starts on the road outside Milham. Milham it is called because it began as lumber mill shipping logs down the river towards the city of Freeport. Since the road was built, Milham has grown into a medium sized town and now trade flows both ways. Milham is a walled town because all towns are walled in the Westmarch. Even though war is not common, it is a frontier province and there are enough monsters and bandits to require fortifications (lucky for us or it would get awfully boring). If there is anything the locals can't handle, the Mayor of Milham can send for help from the garrison at Red Towers castle which is about 100 miles away.
|Map with some names on it.|
If I spend some time woolgathering now, that merchant might have a lot more to talk about than you might think.