[Taqwus]

They're not -- at least the foot versions are, judging from a quick check.

Off-hand, memory tells me that every unit that actually comes as a commander also has a mind. To get a mindless commander, you have to Gift of Reason a mindless unit.

:edit:
To clarify, "they're not" refers to Mound Kings not being mindless, not the immunities suggested.

If you DID have a mindless commander, you do gain immunity to certain types of magic and attacks (notably R'lyeh's mindblasts). Main drawback might be that it's not supposed to run away, IIRC -- double-edged sword, that.