If you right click on the Puma with your AAHT, it MUST chase it and attack it in his LOS, that's always true.
So in your case, there are only these happened,
1) You used A move, so it attack the Raketen.
2) Puma is out of its range and got out of the LOS.
3) You clicked on the ground, so it choose the Raketen.
Either 3 options are the OKW player did his job great and you screwed up, period.
It happens in COH1 too, if the Panther got out of the range of M10 and a Pak38 or a Gren is in its range, of course he would shoot the Pak or Gren. However, it is least likely happening because M10 speed > Panther.
I almost never use A-move
It was in range cause I commanded to attack and AA was not moving, only turret.
No ground attack.
I attacked and then revesring all the time chasing Puma.