Infinity does indeed break immunities sometimes. Though I am not sure when. My sorc's Merc got infinity and sometimes it breaks immunity and sometimes it doesn't. Perhaps somebody in the Paladin room can answer this question
I remarked that infinity broke immunities of monsters with lower resistances to that particular element. For exemple, in the pits at hell difficulty, they are two different creatures with cold immunity: skeleton archers and corrupted rogues. The skeletons cold resist is 75 and the rogues are 140, iirc. Since the lvl 12 conviction that come with infinity lower max enemies resists by 85, that could explain why only the skellies lose their immunity under the infinity aura. But even then, the skellies remains much more resistant to cold spells than other non cold-immunes creatures. Hope that it helps.
Infinity gives a lvl 12 Conviction Aura which reduces enemy resistance by 85%. Against immunities this only works at 1/4 (or is it 1/5?) efficiency. So any monster with greater than 120% cold resistance will not have its immunity broken by a lvl 12 conviction. Anything less than that will have the immunity broken and you will damage it.