When doing some tests in creative mode with named Pillagers, I discovered that if I went more than 128 blocks away, they'd despawn. They had names, so i was confused. After some testing I tried again by spawning them and using name tags, and they did as expected and didn't despawn. I found the same with Zombie Pigmen.

So if you spawn hostile mobs from renamed spawn eggs, they will be named, but still despawn. I consider this a bug.