I'm not sure if this is a bug or a feature, considering that OTA acted in the same stupid manner.
If you give attack orders to one of your units that sends it after an enemy unit, the enemy unit can walk the ends of the earth, but it will never escape. For example, upon sighting the enemy commander, I can tell all my aircraft to attack him, and it doesn't matter if he cloaks or wanders away, because my planes always know EXCATLY where he is. This seems wrong to me. If I see a unit and tell my units to attack it, when I lose sight of the enemy, my units should go to the last known location, not right where it is.