Yes, it indeed is kind of a bug, or a missing feature to say it a bit more friendly
The immunization code contains all the necessary information; immunization classes register possible filenames of browsers whose profiles are detected, and there's code to test and return whether associated processes are running. I've no idea why it didn't make it into the GUI, possibly because the immunization is a bit more separated than the rest from the localization framework.

I did add an entry to the project tools about it: Warn on immunizing if browser is open, thanks for persisting