[Edi]

That looks like a variant of the same bug. Immortality has all kinds of triggers associated with it and it probably just checks that when the unit is killed on the battlefield that immortality is ok, global stays up, but doesn't check whether the capital is in friendly hands.

In both cases the common factor is that the caster of the global is eliminated from the game without being explicitly killed on the battlefield or the global dispelled via overwriting or dispel. It becomes a case of "The Void ate my caster, but my global is still up! Nyanyannyan-naa-naa!"