It's obvious that Prince isn't effective with Duration cards, since Prince has a "when you discard it from play". But still, exactly what happens if you do it anyway?
You may set this aside. If you do, set aside an Action card from your hand costing up to $4.
OK, suppose I do that with a Caravan and let's see what happens. This is turn P (as in Prince).
At the start of each of your turns, play that Action, setting it aside again when you discard it from play.
So turn P+1 I play Caravan first. At the end the turn I don't discard Caravan because of the duration effect, so it's not set aside.
Turn P+2 I have the duration effect from Caravan, and at the end of the turn it is discarded. If the above quote was all there was I would say that
now when Caravan finally is discarded it should be set aside again, and then the Prince would set it in play again at turn P+3. But there is more:
(Stop playing it if you fail to set it aside on a turn you play it.)
That's what happened at the end of turn P+1, so it shouldn't be played on turn P+3 after all. OK, but still, I see nothing that says it shouldn't be set aside then, so my literal reading is:
Turn P: I play Prince with Caravan
Turn P+1: The Caravan is played and remains in play as Duration card
Turn P+2: I get the duration effect and then the Caravan is set aside again.
Turn P+3 and on: That Caravan is inactive for the rest of the game though, just set aside like on an Island.
Agreed?