Creature with Treachery was returned to the owner of Treachery despite Control Magic taking it back

Double creature control effects worked wrong somehow. Opponent played [[Ulamog, the Ceaseless Hunger]]; I cast [[Treachery]] and gained control of it; they cast [[Control Magic]] and gained control of it. When they passed turn Ulamog was returned to my control, which shouldn't happen. I passed turn to them and Ulamog remained in my control.