Yes, so when you ult hit with Sejuani it would calculate your % health based shield based on how many enemies were within 700 units of you. We did test to see if there was a window like you talked about using Amumu's bandage toss and there doesn't appear to be a window. As soon as the CC lands it gives you the shield.
I don't know if its necessarily a bad thing. It gives more strategy and a real choice in team fights. Do I use my CC immediately and get a smaller shield or do I wait until I'm in an optimal position to use my CC and get a larger shield.