If the rocky outcrops were impassable terrain, your Elven friend has been playing incorrectly.
Firstly, it states: "Flyers cannot finish their movement in impassable terrain or in woods" (p74 Flying Units, Terrain - LRB).
It also states: "If (characters) riding monsters or chariots, characters are restricted by terrain in the same way as these troops" (p68 Generals, Wizards and Heroes - LRB).
And: "A character riding a flying monster is bound by the terrain movement restrictions that apply for flying monsters". (p74 Flying Units, Characters - LRB)
Apart from that, if your infantry were close by, you might have been able to Move Through the enemy wizard which in turn means that if there were no friendly elven units within 30cm for him to retreat to and join, the wizard is dead (p70 Generals, Wizards and Heroes & p74 Flying Units - LRB).
If your troops could not enter the terrain piece that the wizard was in, the wizard should not have landed there.
@ Siege Tower - characters cannot be targeted as an individual target. If he is part of a unit, the unit can be shot at and he suffers any subsequent effects e.g. drive backs, confusion or death if the unit is destroyed.