I found a menagerist while doing bounties, did not attack it and there was no “Arcadium has engaged the goblin” message. I kept my distance and had others TP to me to get a pet but the Goblin escaped anyway!
Did I actually “engage” the goblin somehow even though the message did not appear? Or do menagerists escape regardless?
If you walk up to an elite that is minding its own business, but you do not hit it, you will not get a notification that you have engaged it. However the Elite will notice you and will aggro on you. You still do not get the chat window notification until you either attack the elite, or he hits you with melee, ranged, or ground affixes. You will get the notification that you have engaged it when one of you actually engages the other in combat.
The same applies to goblins. If you do not attack them, you will not get the chat notification. However, if you get too close, they will notice you and run away and escape since they will not attack you. The one exception to this is Insufferable Miscreants which will summon in Vault Peons which will attack you.
You did not get the chat notification because you did not engage them, and they did not engage you.
There is no bug here.