Immortality means that they don't age (like Luc, Leknaat.) Not that they can't be killed. IIRC, it does make a difference between whether it is attached to an object or a person.

As for Riou and Jowy, in the guides or something they had this long boring explanation of why they weren't immortal when Leknaat and Windy were, to judge from what people in the fandom were saying.