Yes they are immune. But since they only start with 2+(1 to 5) tokens, they seldom get more than 2-3 regions in their initial conquest, and if the rest of the players play decently, there will at most be one White Lady region left when the White Ladies get their first chance to decline.
I find that White Ladies are one of the worst races ever.
I certainly agree. I find Grand Dames of Small World the less satisfying of the race-adding expansions.