I find that if I get stunned or killed after firing a projectile/ult/etc. it just disappears.
Examples:
Any Pharah rocket already in mid-flight just disappears when I die/get stunned.
Mei’s ult just disappears if it isn’t already freezing people - seriously how does snowball disappear after I throw it?
The list goes on, but you get the general idea. Can we please fix this?