As said above: if the immortal unit is caught without lines of retreat, it dies.
So if you're playing LA Ulm, make sure you have lines of retreat always (or just have the counts die in combat so they respawn, Lammashatas+Attack Rear, or Lammashatas+Shadow Blast+attack rear, or if you have an army of immortals, Sabbath Slave+Shadow Blasts+attack rear, with mages to cast army buffs for them and masters casting Darkness/self-buffs).
Similarly, when you attack an enemy capital with a large army, make sure you're not bottlenecking it with a one province escape route easily close (
).