We know that "immediately" never means immediately. They recently took the "immediate" out of Yoda's bonus turn because it's just a regular bonus turn. Talzin's mechanics kill the target on "round end," and counter attacks are considered as part of the same round.
Counter attack procs are a little odd in general. I remember there was some kerfuffle over deathtrooper hitting Rebels twice and applying daze on the second attack. Even though the two deathtrooper attacks animated first, the counter would still proc after the dirst one, so it looked like they were countering while dazed (but technically weren't).
