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Describe the Bug:
Thunderscape Battlemage and Sunscape Battlemage (and I suspect the others,too)can be kicked to use their targeting ability with no valid target,which I think is invalid.

Which card did behave improperly ?
Thunderscape Battlemage and Sunscape Battlemage

Which update are you using?(date,name)Which type(Duel,Gauntlet,Sealed Deck)
Manalink 2014/12/20: Commanding 2014 Urzas,duel

What exactly should be the correct behavior/interaction ?
You can't kick an ability that targets by itself or paying both if there is no valid target for them.
The Battlemages are fixed after a long period I hope this bug when fixed doesn't make things worse

Are any other cards possibly affected by this bug ?
All battlemages.

Mmmh, I'm doubtful about this one, as there's the "Where -this- enters the battlefield".
As far as I know, when you've the option to pay the Kicker cost, the only requirement is mana, the targeting is only a consequence when there's the CIP ability.
Can someone find a more precise ruling about this ?

Best ruling I could find came from MTG Salvation. It says:

" If a permanent has a targeted "enters the battlefield" ability that triggers if it was kicked, the target isn't chosen until the permanent enters the battlefield and the ability triggers (as opposed to when that permanent was cast). That means that sometimes you may wind up targeting something you don't want to. For example, say you cast a kicked Heartstabber Mosquito, which has the ability "When Heartstabber Mosquito enters the battlefield, if it was kicked, destroy target creature." In response to the Heartstabber Mosquito spell, your opponent sacrifices his or her only creature. When the Mosquito enters the battlefield, its ability triggers, and you must choose a target for it. If no one else controls any creatures, you must target one of your own -- possibly Heartstabber Mosquito itself. "

So Gargaroz is correct. Kicking Thunderscape Battlemage does not require a target, it merely grants an ETB ability that requires a target and fizzles if there is none.