The immunity is actually intended, and it's there to ensure that Treasure Goblins are able to perform their role once they're engaged (i.e. so that they have time to run away before getting absolutely clobbered). This is something that's been there since launch, though, and hasn't been changed.
What's likely happening is that, since goblins now [url="http://us.battle.net/d3/en/forum/topic/7006895826#2"]have more a lot more health[/url] due to Monster Power, every point of damage you're able to do to them is valuable, so when they're immune it's a LOT more noticeable. That said, to my understanding, the immunity should only occur during the first few ticks of combat, so you may still want to kick a report over to the Bug Report forum. :)
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