I don't think it is immunity...but luck that you never got sick.

For example, Giradia is very common and millions of people are infected by it every year. From the US CDC.

Giardiasis is a global disease. It infects nearly 2% of adults and 6% to 8% of children in developed countries worldwide. Nearly 33% of people in developing countries have had giardiasis. In the United States, Giardia infection is the most common intestinal parasitic disease affecting humans
Giardia infection rates have been known to go up in late summer. Between 2006-2008 in the United States, known cases of giardiasis were twice as high between June-October as they were between January-March.

Anyone may become infected with Giardia. However, those at greatest risk are:
Travelers to countries where giardiasis is common
People in child care settings
Those who are in close contact with someone who has the disease
People who swallow contaminated drinking water
Backpackers or campers who drink untreated water from lakes or rivers
People who have contact with animals who have the disease

In the context of this thread, unless it is a very dire life or death situation where you are incapacitated or do not have fire resources or water treatment tablets, it is always in the best interests of your health and well being to always treat your water while out adventuring.