This is a difficult question to answer. Sources I've found focus on things from a Roman perspective concerning the auxilia. Records from towns and villages from the fringes and outside the Empire would be hard to come by. Perhaps somebody else has sufficient documents from more backwater parts of the Roman frontier from which the auxilia would've originated, but otherwise we may never know how these men were treated upon their return. This is especially true for units composed of men from outside the empire. I can attempt to answer this question from a Roman perspective and maybe it will shed a tiny bit of light on the life of an auxiliary soldier after his service.

The Roman army recognized three different types of discharge. The first was missio causaria, or release through sickness or injury. This was done only after a thorough examination determined the soldier would most likely never serve the legions again. This discharge was not a slight on the soldier and didn't carry any negative connotations as far as I can tell. The second was missio ignominiosa or dishonorable discharge. The implications of this are obvious. These men were barred from living in Rome or from entering imperial service in any form. There is some evidence that these men were branded in some way to show their shame. The last type of discharge is what we will discuss, the honesta missio.

Auxilia discharged as honesto missio were given a copy of a bronze diploma. This item listed their new legal status as Roman citizens and veterans of the Roman legion. Some veterans of the legions were colonized together. This happened periodically throughout the Empire's history, but I cannot tell if auxilia were ever collectivized in this way. Some veterans chose to continue living near the base where they served, presumably because they'd already established local ties such as a wife and children. It does appear that most returned home and they did so as citizens, a distinction that – according to Adrian Goldsworthy – would've been rare. For auxilia who left their towns and villages when they were young, coming home after twenty-five years of service must've been jarring. The life of a soldier in the Roman legion would've been fundamentally different in every way from living in a village or town on the border of the empire. Many Roman scholars and historians have wondered to what extent soldiers of the auxilia became "romanized" from their experience with the army. If anything can be gleaned from this information, auxiliary soldiers returned home different men.

Were these men treated well by their own community? I don't know. I imagine, depending on the disposition of the town toward Rome, gaining citizenship would've been either good or bad. It must be noted that some auxiliary soldiers ended up fighting against Rome after serving. According to Goldsworthy, "It was a common Roman conceit that their most dangerous enemies were men who had served with their own armies. Arminius and Gannascus in Germany, Tacfarinas and Jugurtha in North Africa, and even according to one source the leader of the slave rebellion Spartacus, learned their trade with the auxilia." Some men came back and used their knowledge of Roman army tactics to gain power and status. It was a complicated affair.

I wish there was more information on the treatment of auxilia by their own community. As I've said before, I imagine it depended on your town's status within or without the empire.