It makes sense from a technical standpoint that Fire Shield knocks off Immaterial and Burrowing, since the shield does not need to attack (target) a creature, it is a response to being attacked itself.
Whether it is "fair" or not is a different argument.
But on the same lines, fire storm should also hurt them since it is not a "targetable" attack, it simply blankets a field with raining fire.
Just a thought.