Step 1) Attack declares ranged attack
Step 2) Attack is rolled, and is declared a hit.
INTERRUPT) Swordmage interrupts the hit, which happens -before- the triggering action. Swordmage teleports out of that spot.
Step 1) Attack is not re-declared. It remains as is.
Step 2) Attack remains as rolled, and square is checked to see if enemy is in it. Enemy is not in it, and it is declared a miss.
There are a ton of Ranger powers that work on this exact principle of not being where an attack lands, and work the exact same way. Interrupts go before the interrupted action, then the action continues -as declared-. There's a reason why it's a Daily.
You don't target squares with ranged attacks, you target individuals (PHB pg 270). The Ranger powers stop the attack only when they move you outside of the reach of the creature attacking you. Since the teleport is unlikely to move you outside of the range of the attack, it does not necessarily invalidate it.
PHB pg 268 said:
An immediate interrupt lets you jump in when a certain trigger condition arises, acting before the trigger resolves.
Having relooked at the rule, I would modify my sequence as:
1. Enemy attacks Swordmage
2. Enemy begins to hit Swordmage
3. Swordmages uses Dimensional Dodge and teleports next to enemy
4. Since the Swordmage is now adjacent to the Enemy during the attack, he SHOULD be able to make an Opportunity Attack, however since he just used his one Immediate Action for this round to perform the teleport he does not.
5. If the Swordmage is still a legal target (meaning there is no minimal distance or other weird requirement for this attack), then the hit continues.
6. Enemy deals damage to Swordmage and any effects are put into place
7. Enemies attack concludes
If Dimensional Dodge worked on Area attacks, then teleporting next to the Enemy could likely invalidate the attack from actually hitting the Swordmage.
If using Dimensional Dodge didn't use up your single Immediate Action per turn, then the Swordmage would be allowed to perform an Opportunity Attack.
As the power is currently written, there is no reason to have it be an interrupt rather than a reaction.