That’s not a bug. Immune is not immortal. Immune protects against damage and against being targeted. It does not protect against destruction or other magical effects (polymorph, return to hand, shuffle into deck, …) from untargeted effects.
My guess is that the minion of which you cannot remember the name has a deathrattle “return this to your hand” (there are I believe two or three such minions in the game). Since that deathrattle returns “this” to your hand, and not “a copy of this”, the second trigger can’t do annything anymore because the card is already in hand and hence cannot be returned.
Same thing. If the first DR works, then the Skeleton Knight is already in hand and cannot be returned. If the first DR fails, then you get a second chance.