Yeah, they do that. They also psychically know that your cursor is over them and will run away.

Artillery should probably just commit the AI to an attack and not let them go back to a previous state. The same sort of running around caused missile units to die horribly in MIITW and RTW.

In Shogun, they either did a missile duel with you or charged you. Not the in between crap you see in post MTW stuff.