HomebrewAt2046

[ReaderAt2046]

Because it says so in the rules? From the Physical Immunity Description

You take no stress and no
consequences from physical attacks and other
harms, unless someone satisfies your Catch.

[Sanctaphrax]

Thing is, Physical Immunity (Magic only), which is what I assume you mean, only protects you from spells that inflict stress or consequences. SR is designed to also render you resistant to Maneuvers and possibly let you push through magical blocks.

True. Physical Immunity only affects maneuvers and blocks indirectly, by making them narratively inappropriate and therefore impossible.

Unfortunately, Spell Resistance isn't very good against maneuvers and blocks either. It only affects spells that are cast "on you". So it won't affect your attempt to push through a magical iron wall and it won't stop a foe from creating a taggable Aspect to use against you.

[Taran]

Because it says so in the rules? From the Physical Immunity Description

You take no stress and no
consequences from physical attacks and other
harms, unless someone satisfies your Catch.

I added bolded

True. Physical Immunity only affects maneuvers and blocks indirectly, by making them narratively inappropriate and therefore impossible.

What Sactaphrax says. 

IF I put up a zone border using a fire wall to block all movement, the demon who's physically immune to fire will be unhampered.  Same goes if I try to set up a maneuver like "high temperatures" on the scene or a fire-related "blinded" maneuver on the demon...something like "scorched eyes".  (I admit the last one's a bit silly, but you get the point).

[Tedronai]

a fire-related "blinded" maneuver on the demon...something like "scorched eyes".  (I admit the last one's a bit silly, but you get the point).

Hey, I actually did that to the BBEG in a D&D game way back when I first got into the genre and our group was misguided enough to allow a 'called shots' houserule.  It was quite effective.  Not fire-immune, mind you, or a demon, but the principle was the same.