This is not as much of a bug as it is of an unthought-of feature.
When RotT guards roll sideways, they are unshootable --- that's ok, they kinda "dodge" whatever bullets or projectiles you may shoot at them. But what about them harmlessly rolling through exceptionally hot (so hot that it kills Eidolon in seconds) wall of fire? They just roll through it and doesn't afraid of anything.
Same goes for rockets. One may dodge the rocket itself but what about its blast? To put things to ridiculous magnitude, let's say we have a Redeemer warhead exploding just after the squad of Strike Team guards decided to roll away. What we have is that they will live through the nuclear explosion in a way which is logical enough for Nightmares but not for them.
My suggestion is to add +VULNERABLE flag to them, so that they would receive AoE damage even when not shootable, and give them NOPAIN flag in rolling sequence (so that they won't stuck in non-shootable-ness if pain gets them right in the middle of rolling, preventing resetting shootable-ness).
On a note that is slightly related, hellbores are, too, physically there when moving around, even though they are greatly protected with floor above them. So +VULNERABLE on them makes sense too, especially given the fact that they don't attract autoaiming when buried.