Ah, immunities...
If you have an immunity, you are unaffected by environmental factors and anything related to your immunity that doesn't require a saving throw.
Heat/Fire: You could walk across the sahara without ill effects. You could probably stand in a normal campfire, or put your hand on a hot element of a stove, pull pans from an oven without mits or sit in extremely hot water. Get hit with a fire blast or such, or fall into lava or blasted by super-heated gas, and you'll take damage like everyone else.
Cold: Same as fire, only colder.
Disease/Poison: You'll be immune to normal diseases, possibly even genetically engineered diseases, but any power that involves poison or disesase, like a paralytic poison sting, or draining disease power would still affect you.
Aging: You don't age normally. I haven't run across a power that ages, though one that temporarily ages you (like say, the Vulture's drain), would affect you.
Some are pretty easy to run, like aging, critical hits, pressure, starvation and suffocation. But basically, if it requires a saving throw, you can be affected by it. Having immunity to your own power doesn't even really help, since that's only if your power is turned on you. Two fire based people blasting each other take full effect even if you are immune to your own power. It does prevent you from harming yourself though, say if you drop an area affect attack at your feet.
If it worked as if you were actually immune to any the effect of anything under your immunities, I'd be creating a character with max rank in every immunity and max rank in protection, sensory protection and mental protection. And sleep in a nuclear reactor when its running, just because I could.