Physical Immunity seems to be both too expensive and too cheap.
If you want something like being immune to lightning, then it seems too expensive. However, when you are going for a more straight-up immunity to all physical stress, then it is far too cheap compared to toughness (or recovery though I agree recovery has other benefits).
I mean, they peg a Fire Demon, iirc, as having this as a +3 because I guess you'd have to research it is immune to fire or something. +3 is pretty insanely expensive...that's equivalent to Evocation or Ritual in cost, but the benefit is far smaller. I mean sure, Fire Immunity would be a bit handy against Harry, but he has lots of other ways of kicking ass. And heck, even a Pyromancer could still hurt something immune to fire, since that doesn't make you immune to COLD (which is essentially part of fire, at least in the traditional element system).
Overall, it is a problematic ability. I think it is generally best to consider it a Plot Ability rather than an actual option.