This seems to occur when Thresh double Q an enemy and then uses his flay as they try to dash. Not only do they not get knockbacked (they kinda just ignore it) they also don't get slowed. Here's a few video examples I just recorded.
https://www.youtube.com/watch?v=YflWz1u-Gow&feature=youtu.be https://www.youtube.com/watch?v=uSgffDSh4oo&feature=youtu.be
Man who is that pro thresh
When I read your post, my first thought was that you just missed. Those videos though are pretty solid proof that something is messed up.
This is NOT a problem with Thresh or Flay.
This is a problem with CC-stacking. What is happening is, when you stack CC effects on a single target, there is a brief window where the target can use an ability (or item such as Zhonya's) in between the CC effects. (Even when they overlap.)
For example, Taric uses his stun, and half way through it's duration, Ryze snares the target. That target can still flash/dash when the stun wears off and while still snared because of the glitchy mechanics of stacking CC effects.
This is a problem that has always existed since Beta and will not go away. I suggest you learn to play around it and delay the CC-stacking in hopes to catch Lucian immediately after he dashes, which Flay would then interrupt it and slow him properly.
