I was thinking of interesting catches for physical immunity, and I had one that I thought was really really good, how about this
The Catch: Purely Neutral Entity (+6, since it limits you to doing NOTHING)
You are only immune to everything as long as you don't intentionally interfere with the events happening around you. As soon as you get take any action against anybody in any conflict, you loose the benefit of Physical Immunity for the entire scene.
-edit-
On the upside, I dont think you'll satisfy the catch if you defend yourself from an attack, IE, they are gunning for you.