Patric,
To get a bounty, you have to be the one that depletes that player's life. In the case you're describing, it seems that other players take the bounty while you have the fight window open and that is why you receive the "No longer" message.
Regarding the second issue, the "In a fight message" appears sometime as a small security measure which allows the game to process the order of the attacks when several players are engaged in the bounty fight.
Hope this helps.