If the enemy CAN kill one of your units, they WILL kill them. It doesn't matter if you leave a Pegasus Knight in range of an enemy archer, if the Pegasus Knight would survive the attack, but the archer had the ability to kill a different unit (or lower the health enough for another to make the kill), he'll go after the other one.
The AI isn't flawless, but it isn't stupid, either. Don't leave someone in a place where he can get ganged-up on unless he has the DEF to deal with it.
"Not all who wander are lost." http://whitetigershiro.blogspot.com/