Does that only protect against spells or is it immune to everything (ex: fire, lightning, cold damage)?

From the Core Abilitiles:

<AbilityBonus InternalName="ImmuneToMagicAbility">
        <AbilityBonusOption InternalName="ImmuneToMagic">
            <DisplayName>Immune to Magic</DisplayName>
            <Description>Immune to Magic</Description>
            <Icon>Ability_ImmuneToMagic_Icon.png</Icon>
            <GameModifier>
                <ModType>Unit</ModType>
                <Attribute>ProtectFromSpells</Attribute>
                <Provides>Immune to Magic</Provides>
            </GameModifier>
            <CombatRating>50</CombatRating>
            <IsCombatAbility>1</IsCombatAbility>
            <Type>Defensive</Type>
            <AIData AIPersonality="AI_General">
                <AIPriority>5</AIPriority>
            </AIData>
        </AbilityBonusOption>
    </AbilityBonus>