Put a repeating command block with the following command:

summon minecraft:snowball ~ ~ ~1 { Motion: [1d, 1d, 0d], Tags: ["TestEntity"] }

You get a nice flow of snowballs thrown to the east.

Now add 2 chain command blocks behind the first one with the following commands:

execute as @e[tag=TestEntity] run data merge entity @s { Motion: [0d, 1d, 1d] }

tag @e[tag=TestEntity] remove TestEntity

Visually, the flow now starts by being thrown to the east before being magically teleported to its expected route to the south.
If you place yourself in the east snowballs flow, you don't get hit because they are not actually here, they are at the south even if invisible.

The issue also occurs at least for dragon fireball, egg, ender pearl, experience bottle, experience orb, eye of ender, falling block, fireball, item, llama spit (which is even stranger), potion, small fireball, and to a lesser extent for arrow, spectral arrow and TNT.