I'd probably say that since awakened immortals trump non or partially awakened immortals Krieg (Kreig? It's spelled both ways in the sheet) would be more 'very heat/fire resistant' than completely immune. Right? Like if a more powerful hollow/awakened shot heat/fire at him that was hotter he'd still burn? 

Also, I don't think there's any mana/energy in this setting--it's strictly an issue of powers putting strain on the organism residing in your heart. That's how I ended up reading it anyhow.