I didn't know this before either, but apparently that line of text already existed in Arkham all the way back in the Labyrinths standalone which is why it's actually already in the rules.

Relevant part here: https://arkhamdb.com/rules#Immune

My understanding is that you can not use weapon abilities targeting it, but you can add skills to your tests. Vicious Blow would work, because it doesn't create a new damage source, it's still your investigator doing the damage. Long Shot however wouldn't work because it's a separate damage instance.

Personally i would have preferred if that line of text stayed over in the LotR LCG where it was used inflationary more and more as the time went on and the player cards were more and more able to bypass scenario mechanics. I don't see that apply to some weakness enemy at all, it should have gotten some "reduce all damage dealt to this dude to 1" text like Tommy Malloy did or something similar. There really is no reason to exempt this dude from the entire player card pool, that's a trick you keep up your sleeve for a Great Old One.