Not illegal. It's not like a traffic collision, there's no legal duty to stick around after a legal defensive use of force, at least in Texas. And the fact that he left, while it might be used against him to "impeach" his testimony is the least of his problems, and might even be good tactics. Frankly I'm giving serious consideration to that very thing in my own ROE's.
The problem that the defender is going to have is justifying the "reasonableness" of his use of deadly force for the shots following, at minimum, the 4th.
They say, that you the only things you should tell the Officer, at the scene, if you stay, is that, you were in fear of your life, you will cooperate fully, and you will give them a statement, in the next 48-72hrs, with your lawyer present, not, right at that moment. And don't give in, if they demand.
This extra time, allows you to calm down and get the events, straight in your mind, instead of trying to give a statement, while everything is hectic and you are still jacked up on adrenaline. That way, you can give them a correct statement, without worrying about making a false statement.