Bug with the method EntityAlive SetAttackTarget

Destroyed objects in Unity become effectively null if not actually null all the time. This is standard behavior.
What actual bug are you seeing?

But if you check a reference to a Unity object with if (Object) it will use the bool overload to return true/false correctly or use if (Object == null) or != that also works. We do not use if (Object is null) and do not have issues as all our compares are consistent.

Why don't you just do if (entity) in your code? It would be false when the entity is destroyed. That would make your code compatible with our code.