So the argument is that since the opposing mage is no longer a legal target, you must select your own mage. I thought you would still choose the other mage, who is no longer a legal target due to range, and the effect of the spell would fizzle. But this seems to have a ruling that if there exists another legal target, you must select another target. Why doesn't that apply to other spells?
The short answer is that this does apply to other spells and abilities. When you cast a spell, you choose your target during the Cast Spell Step. You can not choose an illegal target during this step, and you do not have to spend mana nor commit to the spell until you have chosen a legal target. So, if the target that you wanted to select is shown to be illegal right away, then you
are allowed to choose a different target (and you have to if you still want to cast the spell), or you could even cast a different spell or perform a different action all together. It's only after you've selected a legal target and finished the Cast Spell Step that you are committed to your decisions. (English Rules v3 page 13)
At that time, once the Cast Spell Step is completed, if the target then
BECOMES illegal it is too late for you to back out. So, you can not choose a different target or action, the spell will be cancelled, and you will forfeit all investment you've put into casting it.
The same is true with attacks, which select a target during the Declare Attack Step (English rules v3 page 23), and any other ability that selects a target. You can not choose an illegal target when you initially select a target for anything. Rules for cancelling an effect due to an illegal target are intended for when your legal target choice somehow becomes illegal.
Now, with Mana Siphon, you do not select the target for it's ability until the Resolve Spell Step. In this scenario, your opponent teleported away before this step, so when it comes time for you to select a target of the ability your mage is the only legal one available and you
MUST select a legal target, ie yourself, because the effect is not optional and the spell was successfully cast. It does not cause the spell to be cancelled, because the opponent was not a target for the spell cast, just the spell effect. The opponent was never a part of the spell at all, having teleported away before it became time to select a target for the effect. It's not that they became an illegal target so much as the fact that they were NEVER a target of the spell to begin with.