Self protection is an intended mechanic as there is a way for the tanks to get the deletion on themselves guaranteed 100% of the time (and color selection may make it happen anyway randomly).
This was a completely different colour but the same player twice. He was Blue and was called for Orange and Purple deleting in seperate runs. Both his shield and the player who was shielding him had their shields used. I know if you get called for your own colour you self shield.
The other one is harder to see if it's a bug or not but I'm fairly sure that if the "to be deleted" guy gets to close to anybody, it will activate their shields, consuming their bubbles and getting both killed too. A bit tricky but nothing you can't solve with proper spacing and a priority system for who has to step in.
The 2 of them were standing alone in the middle so I doubt it was this. Even if it was, that should still be fixed.
Re: colours still appearing when both players are dead. I have seen 2 circles be conspicuously empty after players have died but I may be confusing that with SM. As I said above, seems pretty harsh for HM, only other fight I can think of with a "you all die now" mechanic when players die is NiM Kephess