If outrage is interrupted (through the likes of Protect or in this case: type immunity) while it still has another turn of outrage, the user will not be confused and will not be locked into Outrage. So in this case, Outrage Number 2 was interrupted, while it would have used a third outrage, if Mimikyu hadn't swapped in to interrupt. If the outrage would've been a 2-turn outrage, the Zygarde would've been confused after trying to attack the Mimikyu. Hope you found this explanation helpful. For future reference, have a look at the second post of this thread, as it contains a list and explanation of not-bugs that are commonly thought of as bugs. It even includes an answer to your initial question.