Not to be a butt about this, but Decapitation and the like aren't catches either. Had to correct a player in a game I'm in about this who was pursuing a similar concept.
Just remember, catches aren't things that make you die. They are things that kill you more easily. If you can get attacked by it, it's probably a good catch. If it's something that would outright kill you (decap) then it's not a catch, it's getting (permanently) taken out.
The only thing I can say to this is... Stake through the heart. Its part of the Black Court catch (And its shown to work in Blood Rights), and it can only be used to kill them. If they don't die, then it wasn't through the heart.
Certainly if that where the only catch, it would would only be a +0 catch, or maybe even -1, if your GM houserules (A catch that can only be used against you once, isn't a hindrance), but thats not even a relevant argument in this case.
The "Immortal" character (read:highlander wannabe) isn't taking physical immunity to everything but decapitation. He's taking physical immunity that only works against Death (thats the real catch), with an added flavor aspect that he can be killed by decapitation. So the breakdown actually looks like this.
Physical Immunity -8
Catch
Only Works against Death +2 (Lots of things aren't death, It doesn't protect you from damage. It doesn't protect you from being taken out by things that don't kill you...Infact, when you consider that "Highlanders" aren't even protected from being taken out by death, they just come back I might give it +3)
Anyone can get access to things that wont kill you +2 (actually its even more than that, +2 is for things anyone can get, but doesn't carry with them. Everyone can beat you into unconsciousness with their bare hands, so a case can be made for +3)
Someone would have to know you personally to know the Catch +0 (actually, someone would have to know you personally to even know you had a power, since you can still be hurt normally. But the other point is that, guessing that decapitation can kill something is a pretty safe bet... Even in fiction and mythology, almost everything dies if you cut off its head.)
Total cost -4 (legal) with a strong case to be made for -2 or -1 (since really, all this power does is what a good GM would already do. Not permanently kill off a character, except in very rare and strategically placed scenes).