References? I did a little cursory googling and most of what I found stated that OC spray was effective on canines (mostly dogs).
It's all anecdotal from police officers I know. They've told me some people are tolerant because they're whacked out on illegal drugs, others can build up a tolerance through exposure to capsaicin sprays or supposedly from capsaicinoids in food. An officer I know had to shoot and kill a dog after pepper spray failed to repel it (and as far as we know the dog was neither high nor had been eating lots of spicy peppers).
Interesting possibility that there is immunity. i would bet such folk would be in high demand for protests, demonstrations, and other such events.
Wouldn't it be easier to carry gas masks?