Not a bug in the sense that it's always been like this (which is to say, it's been reported and KK said he wasn't going to fix). However, I was told that effects were going to work more like resistance buffers in the next version: if this is the case, then invulnerability will give you 100% internal resistance on everything, and THAT will remove the message.
I think Kornel's rationality at the time was "You can still feel the pain, it just doesn't actually hurt you." So yeah.
EDIT: Noticed you were posting a lot of bugs, and some weren't really bugs at all. Although having them here for people to see they aren't bugs is good, I would suggest you use the
quick questions thread if you're unsure that such things are intended or not. The IRC channel #chaosforge (
here's a link to a browser-ready IRC) is also a good place to ask (there are usually people like me around to answer).