Yes, we're sure about this. It's specifically mentioned on page 12 of the FAQ:
FAQ p. 12 wrote:
Q: If there is an active location with the text "Immune to player card effects" when Legolas participates in an attack that destroys an enemy, do I place 2 progress on the active location or the quest?
A: No. When Legolas' ability would put progress on the current quest, if there is an active location, it puts progress on that location instead. If that location is immune to player card effects, it ignores Legolas' ability. Therefore, no progress would be placed on the active location or the current quest.