Why doesn't immune protect from destroy enemy hero?

With the advent of the wheel from warlock made me think “why not just use time out”. I made a pally deck and on the turn I was supposed to die I played the time out and still died. But immune protects creatures from being destroyed and shouldn’t there be counters to instant kill effects?

Edit: Destroy effects can kill immune creatures. What a world we live in.

It does not. Immune prevents damage but “destroy” effects do not deal damage. Immune does not protect against this effect.

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No it does not.

It prevents targeting, and most destroy effects are targeted.

It does not prevent untargeted destruction, such as from Twisting Nether.

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