After you go through the catacombs under candlekeep you fight, I think its 3 wizards or mages, anyhow my main characters where able to hit them when they disappeared. They had targeted them before they disappeared. So next time you find a wizard, mage, or anything that can vanish pause the game then attack that thing and your people will continue to attack after they vanish. If you attack anything else then your characters wont be able to find that monster/person till after it reappears.
