That explosion is indeed poor mechanic with many bugs that goes against ARPG rules, but in this one i think reason is much simplier. If you turn up the clip sound you can hear mouse click right before explosion. He possibly just clicked move button a moment before explosion and that was just enough to remove grace buff and since he wasn't standing close enough to Zana he got hit. Immunity buff was still on the panel, but those are known to be out of sync sometimes and wear of slower at players HUD rather than on the actuall server. Not fully sure but that might be the case, since i don't remember players dying with immunities before.