Ok, I don't particularly like the firewall affecting immortals. At all.
First off, they are IMMORTAL.
Pronunciation: \(ˌ)i-ˈmȯr-təl\
Function: adjective
Etymology: Middle English, from Latin immortalis, from in- + mortalis mortal
Date: 14th century
1 : exempt from death
If we choose to ignore the definition of immortality, then we get into "Why only firewall?" I suppose the logic behind the firewall effect is that the immortals do have to face the shield in order to do damage, but in that case then it's completely arbitrary just to allow for firewall's effect to go through. EVERY shield effect (not just damage deduction) should affect immortals as well, so permafrost shield's freezing chance, fog shield's chance to miss, weight shield, procrastination, etc. Which would completely kill half the reason behind immortality in the first place.
And if immortals DO get affected by shields, firewall should be one of the shield effects that does NOT affect immortals. By being "exempt from death" they should not be able to take damage. However, an immortal can certainly miss an opponent or get locked into a time bubble or get frozen from a shield, so long as they don't get hurt/die. I think that, though a bit more complex, would provide the balance you're looking for?
Having shield effects affect burrowing creatures makes more sense realistically, because they are still mortal so can take damage. However, I think a shield's effects must be either entirely considered, or entirely ignored. At the moment, burrowed creatures still have their damage reduced by a shield, which implies they're hitting the shield and thus they should be hit by shield effects as well. On the other hand, if they're ignoring the shield's effect by being burrowed, then they are effectively burrowing under the shield to strike the player directly, and thus should not have their damage reduced. I think it only makes sense to go one way or the other, not halfway in between. I do realize ignoring shield effects effectively gives a burrowed creature momentum, but they lose half their attack by burrowing so I don't think that's too OP...?
It should be noted that Immortals should definitely be effected by a shield's damage reduction, though. That fact should not change.
Edit:
After a little further consideration, I do like the idea that burrowed/immortal creatures get hit by shield effects (exempting damage causing effects for immortals). It adds an interesting dynamic to the game because you can't congeal that elite otyugh, but your permafrost shield might freeze it. Your shield's really do shield you a lot!
Thinking along the lines of bobcamel's definition of the fourth dimension the immortal creature slips into, though, then shouldn't it completely ignore shield effects as well? Just slip out of the dimension behind the shield, hit the player, and disappear again?