I feel as though this is the best place to put my findings regarding glitch where Diddy becomes invulnerable to grabs.
When he is in this state, he is invulnerable to ALL grabs including command grabs. The only way for him to exit this state is for his shield to be hit (without re-triggering the glitch, will explain below) or to die. If there is a third player, they will be able to grab Diddy so the glitch only pertains to the character who triggers the glitch on Diddy. If the character who triggered the glitch dies and respawns they will still be unable to grab Diddy.
What triggers the glitch? Certain moves hitting Diddy's shield and then immediately hitting Diddy afterwards. The most obvious example is rapid jabs, if Diddy shields a hit of a rapid jab and then is hit by a subsequent hit (IMPORTANT NOTE: some moves require Diddy to perform an OoS option to get hit [eg. grabbing or jumping] due to the changes to shield stun. Shield pokes also work.) he will be unaffected by all grabs. However it's not just rapid jabs, my theory is that it is some (but not all) quick or multi hitting moves that trigger this stage. A move must either be very quick or be the same instance of the initial move (ie. a move with multiple hitboxes, one being shielded and then the second hitting), the only exception I've found is Ness's dair.
Shielding one or more hits of rapid jab before getting hit by the same move triggers this glitch
Shielding one or more hits of uair, nair, fair, utilt, usmash,
fsmash before getting hit by the same move triggers this glitch.
Shielding jab 1 before getting hit by jab 2
does not trigger this glitch.
Shielding jab 2 before getting hit by jab 3
OR rapid jab
does not trigger this glitch.
Shielding one or more hits of boost kick before getting hit by the same move triggers this glitch.
Jab
never triggers this glitch.
Shielding one or more hits of rapid jab, fair, bair, tornado, ftilt, drill rush before getting hit by the same move triggers this glitch.
No notable exceptions.
Shielding one or more hits of rapid jab before getting hit by the same move triggers this glitch.
Shielding jab 1 before getting hit by jab 2
does not trigger this glitch.
Shielding jab 2 before getting hit by jab 3
OR rapid jab
does not trigger this glitch.
Shielding one hit of neutral air before getting hit by the same move
does not trigger this glitch.
Shielding one or more hits of rapid jab, dair, fair before getting hit by the same move triggers this glitch.
(I can't remember but I don't think either jab 1 -> jab 2 or jab 2 -> rapid trigger the glitch, sorry)
Shielding jab 1 before getting hit by jab 2 triggers the glitch.
Shielding nair 1 before getting hit by nair 2
does not trigger this glitch.
Shielding jab 1 before getting hit by jab 2 triggers the glitch.
Shielding bair 1 before getting hit by bair 2
does not trigger this glitch (I forgot to test fair, sorry).
Shielding fsmash 1 before getting hit by fsmash 2
does not trigger this glitch.
Shielding one or more hits of fair, dash attack before getting hit by the same move triggers the glitch.
Shielding jab 2 before getting hit by jab 3 triggers the glitch.
Shielding dtilt before getting hit by dtilt triggers the glitch. <---- this is the only example of a move being repeated and still triggering the glitch.
No notable exceptions.
Shielding one or more hits of bair, dair before getting hit by the same move triggers the glitch.
Shielding jab 1 before getting hit by jab 2 triggers the glitch.
Shielding jab 2 before getting hit by jab 1
does not trigger the glitch.
I'm struggling to see any concrete pattern.