Yeah, you let the girl go, whereupon your gang immediately recaptures her the next turn... I'm not sure if that's an actual bug, or just a terrible imbalance, but I've also never had a girl successfully evade capture long enough to get away. Or, for that matter, evade capture for longer than one turn...
As for the nomenclature of "Incorporial", well, that's really an opinion call. I figure it means the girl is, for lack of a better word, a ghost - but in such a way as to control how much they're physically "there". That means no damage, but they can also become solid enough to do the rest of everything. "Impervious" doesn't exactly mean the same thing, although it might work better anyway since it's much more obvious as to what the trait does. I wouldn't use "immortal", since immortality has little or nothing to do with damage. One may be immortal but still feel pain, or be able to be harmed.