It honestly depends. You could consider the Pokemon your first encounter, and catch another after the mandatory knockout or ignore it and catch something else when you can get some Pokeballs. It's your choice, more than anything else.
It disappears from the game. Knocking out Zapdos, Articuno, Moltres, or Mewtwo removes them from the game completely. That's why you should save your game before trying to catch it,...