It seems that the bandit disappears with the train even when knocked from it. The siren's Phaselocking will lock him in place, though, making it much easier to kill him before the train disappears. If the bandit happens to spawn as a brute, his durability coupled with the train's speed will make this a very difficult challenge to accomplish. This can be mitigated in Normal Mode cases where high level characters above 30 have a significant damage advantage over enemies capped at level 30.