When dealing with immunities and attacks, it’s good to note that although a particular attack source might not be able to cause stress/consequences to a character, they can still be impacted by the attack source or be forced to react to it in other ways.
For example, Mack Atlas confronts the villain Snapshot on a rooftop. Since Snapshot’s heaviest weapon is his wrist-mounted pistols, he lacks permissions to perform an attack that would pierce Mack's thick skin. But the villain is hardly defenseless: using his pistols he creates the advantage Blinded by gunfire on Mack with a successful opposed check, and then uses to momentum of the confused and charging hero to launch him off of the roof! Snapshot might not be able to damage the hero with his guns, but a fall of 10+ stories might just do the trick...
Immunities granted by certain power-facts reinforces genre, and gives certain characters a chance to shine under set circumstances. They should never be so broad, however, that a particular character is never in fear of any danger: without risk both the tension and the fun of the game is irretrievably broken.