"Your colour spray lights up the crypt for a moment. You've caught the horror cleanly in its fan… but it continues to advance as if the spray of blinding light didn't exist."
Players are there to experience a world and events, with their characters in the middle of it, solving problems by their wits and kicking tail with their characters' abilities. Describing that world in a way that they can engage with it directly, instead of abstractly via the rules, is vital for many groups to maintaining the roleplaying part of "roleplaying game". The suggested narration above, or something like it, helps your players stay in the head-space of your imaginary world. Players should not be told why something unusual happened, by default—there's not much fantasy and wonder in exploring a fantasy world if everything fantastic is explained right away!
The player will already be puzzling at the discrepancy: "Why didn't that work? Is it resistant to other spells? There's no light in this crypt… does it not need its eyes to see? The chance of it being undead is pretty good if so…" For most people, this is fun! Don't interfere with that fun by immediately handing players the answer to every unknown they run into.
Of course, there are things that won't be unknown to the characters, things that naturally call for giving the players more information.
If the character does have special knowledge, such as Knowledge: Religion (which covers undead's abilities and weaknesses) or Knowledge: [local area] (which might give relevant rumours of the creature's behaviour), then ask for a check and follow up a success with the sort of information that would give them: "The colour spray failed to affect it, and you know that undead are immune to spells that confuse the mind…" or "You remember a story once about a young man who'd disturbed its lair being followed by the creature through a blinding, deafening storm as if the weather wasn't there."
The only time you should just tell (instead of show) your players why something is happening with no justification in the game world (like Knowledge skills, or reminding them of the last time they encountered a similar creature) is if it would directly interfere with what your group thinks is fun about the game.
Some groups play for the tactics and the efficient combat-plays. Further, some of those groups won't be interested in puzzling out the nature of fantastic things through the clues in your narration. If you're playing in this kind of group, by all means lay as much information on the table as you've got and move on with the fun parts of the game.
A spell is resolved - and the target is determined - when the spell comes into effect, not when spellcasting is "starting".
So in the example the sorcerer could still cast the spell, just another target would be determined if they are no longer aware of where the wizard is. The only way to stop the spell being cast (Spell resistance, saving throws, etc are another matter) would be to counterspell or disrupt (Concentration checks) the spell itself - removing the (intended) target before the spell is complete simply means that the caster (the sorcerer in this case) is free to choose a new target.
Ie. Even though the sorcerer had taunted the wizard the spell target hadn't yet been determined.
This is usually most relevant when a spell takes more than a simple action to cast (such as sleep, a one round to cast spell) but when reactionary effects get in the way spellcasters can still choose their target if their original one vanishes before their spell can take effect.
It's detailed in the Casting Time section of the Magic rules of Pathfinder, but the most important line of it is:
You make all pertinent decisions about a spell (range, target, area, effect, version, and so forth) when the spell comes into effect.
So, in the fraction of a moment where the wizard teleports away the spell's effect has not been determined - the wizard hasn't made a saving throw. So the sorcerer is still free to target anyone else they want. If there are no relevant targets of course (say, charm animal and all the animals vanish into the ether on a joyride) then obviously the spell will fail through lack of targets.
Best Answer
A spellbook contains the formula for a spell. A scroll contains an almost-completed casting of a spell - the equivalent of what you would prepare for the day, in written form - just speak the completion of the spell to activate it. When you complete the spell inscribed on a scroll, the contents of the scroll are erased, just as the spell is erased from your mind, when you cast it.