In light of current events, I feel it is appropriate to add that the bug also happens with Shatterskull Smashing and Magma Opus. So indeed as noted by Bad Player#53143
"So it seems it's a bug with cards with that type of targeting/distribution mechanic, rather than a bug specific to Defend the Celestus."

I saw a weird situation from someone else and tried testing it. I came here to report it, but I think this is the same bug, so I'm commenting on it instead. It seems the issue happens whenever a single-target spell fizzles on a Defend the Celestus target; this causes Defend the Celestus to fizzle as well.

For instance, suppose you have a 1/1 and a 2/1.

If you do the following:
-Cast Defend the Celestus on the 1/1 and 2/1
-Cast Shock on the 1/1
-Cast Fading Hope on the 1/1
Fading Hope will resolve, bouncing the 1/1. Shock will fizzle, since the 1/1 is no longer on the battlefield. Defend the Celestus will fizzle, even though it should resolve on the 2/1.

This requires at least one spell to fizzle, but can result from multiple spells fizzling. For instance:
-Cast Defend the Celestus on the 1/1 and 2/1
-Cast Shock on the 1/1
-Cast Fading Hope on the 1/1
-Cast Lightning Bolt on the 1/1
This will resolve in Lightning Bolt resolving, Fading Hope fizzling (as it should), Shock fizzling (as it should), and Defend the Celestus fizzling (but it should not).

In contrast:
-Cast Defend the Celestus on the 1/1 and 2/1
-Cast Shock on the 1/1
Shock resolves. Defend the Celestus resolves on the 2/1 only (as it should).

I tested with Shock, Moonrager's Slash, Fading Hope, and Geistwave as single-target removal spells. They all caused Defend the Celestus to entirely fizzle, as long as 2+ were used, in any order/combination.

I also tried Run Away Together and Illusionist's Strategem, but those did not fizzle in the same way, so I'm not sure if this bug is unique to Defend the Celestus, or if it's because Defend the Celestus has slightly different multi-targeting than Run Away Together and Illusionist's Strategem.

EDIT: I just tested with Chandra's Pyrohelix, and it fizzles in the same circumstances as Defend the Celestus. So it seems it's a bug with cards with that type of targeting/distribution mechanic, rather than a bug specific to Defend the Celestus.