Agreed, I always thought the running off while your K.O. didn't make any sense.
Also, when the kicking robot kicks your party members out of battle and sends them flying miles and miles away, they'll be in the party seconds later after the battle has ended. Apparently they can run really really fast.
EDIT:
Some Marlboro tactics
Farming Musk to make status-immunity armour looks really time-consuming. Go capture monsters instead, IIRC unlocking some monsters at the monster arena will give you a lot of helpful items to customize immunity-armor. Another good tactic for Marlboro's is to give one of Yuna's weapons the First Strike ability and make her summon as soon as you encounter one. Alternatively any party member with First Strike would do, as long as you have Yuna in the reserves so you can pull a switcheroo on your first turn.