Are noonwraith/nightwraith's copies supposed to just disappear when you run off from them or is it a bug?

No, they give heath to the nightwraith so, the idea is to get rid of them as quickly as possible. They are quite fragile, but knock them off quickly as soon as they appear, then get back to your wraith.

I know how I am supposed to fight them. But i have just discovered that instead of killing them you can just run off at some distance from them and they disappear on their own. And so i wandering if this is intentional or it's just a bug.

They are nothing more than a distraction for when the wraith is under threat. They are not meant to be permanent. They are cover for the wraith, so they won't pursue you endlessly. This is intentional.

I think I've figured out why they disappeared, it was my alternative Yrden who did the job while i was away)