Most fighting games will still have you enter into a blocking state even when you’re trying to block an unblockable attack. I can think of a few reasons for this:
- It will be very obvious that the attack is unblockable because you entered a guard state and still got hit.
- If you did not enter a guard state before the attack hit there will be outcry from people, who do not understand that it was unblockable, saying there is a bug that is preventing them from entering a guard state to block that move.
- Some unblockable setups would break or would have some actual/perceived negative outcomes if you allowed blocking to automatically drop (ie. Setsuki’s hold B would allow you to always avoid every followup merely by holding back. You would be able to block the kick or walk out of her command throw.).
- If you did not trigger proximity blocking on an “unblockable” attack, you would instead run into it (your example of going beyond Lum’s cloud and then walking backwards would cause you to run into it and get hit).
The mobile blocking that you have shown is an effect of the fourth reason that I stated. Setsuki is triggering proximity block until the projectile is too far away, exiting block, micro-walking backward until she gets close enough to the projectile again to trigger proximity block, etc. The easiest fix to stop that is to stop pressing back.