"Immune" is an actual thing, so saying they're immune can be misleading.
If you were damaging it but not very much or if their health was coming back, it may have been lag related.
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Also, I have my ethernet cord running from the modem to the Xbox directly
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Your connection between your system and your modem has no real bearing if there's some issue beyond your modem between it and whoever was hosting the forge at the time.
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Some of the enemies took NO damage, the rest were normal