I agree loot should be available when you zone in if the boss dies at the same time your group wipes but that is a separate issue.
There are a lot of constructive suggestions for the op. I am going to throw one in but this may or may not work depending on your group's dps. Also, I have not done FE HM after patch 1.1 so that may have changed as well.
Apart from the first time we did FE HM where we used two knockbacks to knock malgus off, the other times we were actually able to kill him before he did his immunity phase. I think this has to do with the timing of when he casts his doubt ability on a raid member.
For us, he used to emote saying that he is going to cast doubt close to 10% on a player and then would not go immune at 10%. We would be able to get him down to 4-5% when the person actually goes 1 on 1 with Malgus and the player finishes him off then during the 1 on 1 phase. I am fairly confident that if we had not killed him in the 1 on 1 phase, he would have gone immune after coming out of that phase.
Now, if this is indeed the mechanic that he will finish his doubt phase before going immune (maybe we just lucked out ./shrug), trying to use it to your advantage is not so hard as it should be fairly easy to test and see if it works for you.
Zerix (Sith Marauder/Veela PVP Server)