When an opposing army brings in the big weapons, your kingdom has no choice but to ante up or fold - and a trained Battle Mage from the Guild of Arcane Combatants if nothing if not a big weapon. But what happens your generals and their generals have a common goal?
Rather than making a baddy impossible to hit, consider giving it mega-hit points.
Super hard to hit leads to great player frustration. Allowing them to do damage leads to a sense of accomplishment. another variation of this would be to give the bad guy a forcefield that shows damage.You could also give them a mastermind ability that sluffs the damage of to minions who should be easy to kill.Once in a while a super high to hit encounter is ok ,but it should be few and far between.
Your mileage may vary