There's only certain cards that it will cremate; when I made an immolation arena deck, I had to take the phoenixes out because it wasn't cremating them. I can't be sure, but a general rule of thumb seems to be that it will only cremate 0 or 1 casting cost creatures; anything that I can remember seeing it cremate cost 0 or 1 anyway. One exception I've seen is that if it has an antimattered creature, it will cremate that to get rid of it. Fluffboll mentioned lobo, but I haven't run into that situation yet, so I can't confirm or deny it.