Why would you not be able to retarget? You can interrupt game flow with your immediate action, but in general, the game just flows on afterwards. Certain immediate actions specify that they have consequences for the interrupted action, such as those meant to disturb or counter some other activity. In general though, that's not the case, right?
In any case, I don't see any real problem with allowing it, and doing so means that immediate actions are less likely to be "accidentally" powerful - such as this jaunt ability. An ability which does cause your opponents to waste actions would be much more powerful, and would perhaps be worth "dazing" yourself next round - a fine ability, but more in-your-face than the less extreme variant.
I still think that the ability is a little powerful, and would add the limitation (seems obvious) that you need line of sight to your new location.
I'm considering this alternative because it's less invasive than simply rendering the caster dazed. Further, compared to a sorcerer, all these abilities are rather flimsy compared to the sorcerer's gain which is to enable normal-speed meta-magic - an extremely useful ability, rendering metamagic far more powerful for the sorcerer than for the wizard.
Then there's the fact that the wizard's power is largely due to his extreme flexibility. An ability like the jaunt, even if powerful, doesn't really make the wizard any more "over-the-top". I like reserve feats and this sort of alternative class ability since they help de-emphasizing the "nova" part of the wizard. I do think they're indeed a little weak, most of them, with certain exceptions (such as the jaunt).
I'd prefer a less invasive restriction of the jaunt, which preserve the defensive advantages (which are by nature unlikely to break the game), but don't penalize enemies as heavily (i.e. their actions are not wasted intrinsically).
Many wizards successfully avoid all attacks in a session. Since that's so, I don't think this ability will be extremely powerful as long as it's not used as a weapon (i.e., the enemies shouldn't be penalized too badly).
Course, it's a matter of taste.