Shipping is the act of one wanting/supporting two individuals involved in a romantic relationship. Shipping immunity is something people have if they're already in a relationship, it grants them the power of (you guessed it) being immune to being shipped.
Z: can we ship Diavolo and Y?
A: no, Diavolo has shipping immunity, he already has someone
An immunity against being shipped with another person
Aka the thing Diavolo needs and wants
X: can we ship Diavolo and Y?
Z: no, Diavolo has shipping immunity
X: can we ship Diavolo and Y?
Z: no, Diavolo has shipping immunity