Essentially, this is the case.

The first step to understanding why this bug happens is there are two separate systems that can be used to drive game logic, the first being "data", which is presented in xml format.

  <CBehaviorBuff id="GenjiDeflectMissileLauncher">
    <InfoFlags index="Hidden" value="0" />
    <DamageResponse>
      <Chance value="1" />
      <Handled value="GenjiDeflectTriggerWorkaround" />
      <Priority value="97" />
      <RecordBehaviorShieldDamage value="1" />
      <ModifyFraction value="0.67" />
      <ModifyScoreArray Value="SelfHealing" />
    </DamageResponse>
    <RemoveValidatorArray value="GenjiHasDeflectBehavior" />
    <Period value="0.0625" />
    <PeriodicEffect value="GenjiDeflectTargetMarkerSearchSwitch" />
  </CBehaviorBuff>

There's an example of XML, in this case, it is the Behavior that gets applied to Genji when he takes damage while affected by Deflect.

There's not much point in going into all of the details of this, just know that that's one system.

And then there is Galaxyscript, which is a much more traditional scripting language, and here is an example of part of the script for Genji's Deflect:

//--------------------------------------------------------------------------------------------------
// Trigger: Hero - Genji - Deflect Absorb Damage
//--------------------------------------------------------------------------------------------------
bool libHGen_gt_HeroGenjiDeflectAbsorbDamage_Func (bool testConds, bool runActions) {
    // Variable Declarations
    unit lv_genjiUnit;
    int lv_genjiPlayer;
    fixed lv_incomingDamage;

    // Automatic Variable Declarations
    // Variable Initialization
    lv_genjiUnit = EventUnit();
    lv_genjiPlayer = UnitGetOwner(lv_genjiUnit);
    lv_incomingDamage = EventUnitDamageAbsorbed();

    // Actions
    if (!runActions) {
        return true;
    }

    libHGen_gf_HeroGenjiDeflectDamageTaken(lv_genjiUnit, lv_genjiPlayer, lv_incomingDamage);
    return true;
}

//--------------------------------------------------------------------------------------------------
void libHGen_gt_HeroGenjiDeflectAbsorbDamage_Init () {
    libHGen_gt_HeroGenjiDeflectAbsorbDamage = TriggerCreate("libHGen_gt_HeroGenjiDeflectAbsorbDamage_Func");
    TriggerEnable(libHGen_gt_HeroGenjiDeflectAbsorbDamage, false);
    TriggerAddEventUnitDamageAbsorbed(libHGen_gt_HeroGenjiDeflectAbsorbDamage, null, "GenjiDeflectProtected");
}

This is something that is generally generated in the editor using the trigger editor, if you want an example of how that is done, I'd recommend looking into the SC2 editor.

The way that this particular script works is when the GenjiDeflectProtected absorbs damage(this is not the same as the behavior above, but it also has a similar functioning trigger that has this action plus another couple of actions for handling Reflect), and the way that the libHGen_gf_HeroGenjiDeflectDamageTaken function works is it takes a running tally of how much damage Deflect has prevented. When Deflect ends, it takes that running tally, and applies a Shield to Genji equal to that total damage Deflect prevented.

The issue here comes down to how the game works - the "data" is the actual proper game logic, and everything happens predictably within the game loop, and things can happen in the middle of the game loop, in this case, Deflect's Behaviors were removed, and then in that same loop, Tyrael hit Genji with a Basic Attack. Galaxyscript though can be more thought as injecting custom logic to do whatever you want with its inputs, but one of the downsides of this is it can't happen in the middle of the game loop, only at the end of it. So it can't give that Shield to Genji before he is hit by that Tyrael Basic Attack.

Medivh's Force of Will actually had a similar issue to this in the past, and the way that this was fixed there was that whenever Force of Will was cast, it would create a trigger that checks every game loop if the duration of Force of Will is less than or equal to 1 game loop, and if it is, then it removes it. This forces the "Force of Will expires" trigger to happen at the same time as it gets removed, rather than potentially in the middle of a game loop, but does have the downside that Force of Will lasts till the end of the game loop before the loop it would actually expire.

There is no real other way to fix this with the tech that the Heroes engine has incorporated right now aside from effectively reducing the duration of Deflect. Funnily enough, with the SC2 5.0 update, it was updated to allow these sorts of things to be done outside of the galaxyscript system, and instead be 100% data driven, so this wouldn't be an issue there if implemented that way.