It seems this is covered in the Wiki, but it doesn't have a quote from DXV:
"If a Possessed player's Fortress is trashed, the Possessing player chooses whether to put it back in hand immediately, as usual, or to set it aside with other trashed cards, to be returned to the Possessed player's discard pile at the end of the turn."
Possession mentions this:
"Cards that are trashed and set aside on a Possession turn are not in the trash for the rest of the turn. This means that they can't be gained with Graverobber or Rogue and will not contribute to the value of Forager; and a trashed Fortress can be set aside like any other trashed card rather than returned to hand immediately (via the lose-track rule)."
This seems wrong to me, as I don't think lose-track applies to self-referencing cards. I think Fortress can always find itself even if you do choose to set it aside. At some point Fortress will ask itself: "was I trashed?" The answer is yes, so it will try to move itself to your hand. Does it matter where it tries to move itself from? I guess the consensus (see above in the wiki) is yes, but I don't think so...
Now the weird thing is that Possession doesn't seem to care where the trashed card is (whether it was going to the trash), it only matters that it's trashed. So does it expect to find the trashed card at a specific place? I would think both of these are legal:
Resolve Possession first: Set it aside, Fortress puts itself to your hand
Resolve Fortress first: Put it in your hand, but immediately set it aside