I feel a little silly typing this but I believe his immunity comes from the Sun God. The horns, immunity, heightened physical abilities and all that were said by Ico's ancestor, Ozuma, to all be symbols / divine gifts as the descendants of their ancestor deity, who was the first to receive these from the Sun God.

So, yes, god. I don't know how to phrase that in any other way. Biology doesn't seem to have much to do with this either because these descendants, at least for Ico and all the other horned children after Ozuma, are not related by blood.