[Edi]

To be honest, no idea. Immortal units are supposed to return to their home citadel when they are killed, but if that player has lost his home citadel, the immortals are killed.

Was the place where this Dwarf Lord was by any chance something called Dwarven City? If it was, that is the home citadel of a Dwarf King, so you may be forced to wait him out or eliminate everything else he has before tackling that particular location.

I'm also going to have to make sure that this sort of behavior does not happen in CoE3. Thanks for alerting me to the possibility.