Slitherine

That maye be a feature rather than a bug (it makes sense to show they remain engaged in melee), but then, they should not be invulnerable to ranged weapons when the sprites are not in the squad tiles.
The boyz there can only be killed in melee.

That looks more like a visual bug to me, usually sprites only move to the edge of their own squares, you should still be able to target them by selecting the square they should be in.

I've attached a few screenshots below replicating some scenarios. I'm able to aim and shoot with units at varying distances. The unit engaged in melee with the Stormzboys is able to either shoot or melee, the friendly unit behind is able to shoot in without penalty as they're adjacent to the friendly unit that would usually provide cover, and the tank is able to shoot into the melee safely, albeit with a penalty for the terrain cover.

If you're encountering something else then let me know who you're trying to shoot them with and I'll try my best to replicate it.

I am able to shoot at them by selecting their tile, but I have been unable to hit any of them (4 attacks in a row dealt 0 damage), so I thought it could be related.
Maybe they were invulnerable to shooting for a completely different reason indeed.

It's not something I've had any luck in replicating myself but I've passed it onto the developer that it's possible that when a unit is engaged in melee with another unit and their sprites leave their squad tile that their hitbox may not be registering properly or something like that and they'll look into it.

i still get it, but it's rare in 1.02 atm anyway