Rules FAQ
If both players control Bronn, neither player can even attempt to trigger his Marshaling action because "A player cannot take control of a unique card if he or she already controls or owns an in-play copy of that card" (RRG pg 22). You also cannot take control of an opponent's Bronn if you already have one in your own dead pile.
When defending, Bronn effectively has 2 military icons, so removing one with Nymeria Sand or Maester Caleotte will still leave him with 1 military icon.
If killed, discarded, sacrificed, returned to hand, or shuffled into the deck, he goes into his owner's respective game zone (not his current controller's).