[Edi]

They (or most of them anyway) are not immune. It is just very, very unlikely that they will ever get insanity. This is governed by the voidsanity attribute, which does not have its own icon. Starspawn have voidsanity rating of 18, a couple of heroes and void creatures have a rating of 20. Most units only have a voidsanity rating of 10 or thereabouts.