Well, they revamped the order of operations in which abilities and effects activate recently. In play effects used to occur before all others (even preemptive abilities), but now that is not the case.
You have it the worng way around, it used to be that when enters play or when played had 2 timings for the same effect.
Some of them went pre-preemtive (Sacculus and Lucca for example), and some resolved during the abilities phase (like Demon of Fear or Kidnapper). What the patch did was to move them all to pre-preemptive as it should have been originally, as that's when they actually enter play (or Deploy now).
It seems that they didn't do this for Azael though, if you kill Azael before their main ability phase, they don't get the +35 hp/morale. I noticed that Azael wasn't in the list of characters they moved from ability phase to pre-preemtive.
And yes, a few patches ago, Azael gave everyone, including herself untouchable, which made her uncounterable.