"Immune" isn't an official Magic keyword—you won't find it in the comprehensive rules. Players often use it loosely to mean a permanent can't be targeted or affected by something, but the game actually expresses these concepts through specific terms like hexproof (can't be targeted by opponents), shroud (can't be targeted at all), protection (can't be Damaged, Enchanted/Equipped, Blocked, or Targeted by a quality), and indestructible (can't be destroyed).
The nuance people get wrong is assuming "immune" covers everything. For example, protection from red doesn't stop a red sacrifice effect, and indestructible doesn't prevent exile or "-X/-X" lethal toughness reduction. Each protection-style ability has precise gaps.
In Commander, this matters constantly because removal comes in many flavors. Knowing exactly what a creature is protected from—rather than vaguely "immune"—determines whether your board wipe, targeted spell, or combat actually works.