Rules FAQ

Immunity to plot effects will protect Arya from your opponent's Wildfire Assault, First Snow of Winter, Marched to the Wall, Blood of the Dragon, and Filthy Accusations.

If Septa Mordane and Arya Stark are both hit by Wildfire Assault or First Snow of Winter, they are affected simultaneously, so even if Septa leaves play, Arya will stay on the board.

You cannot choose an immune character to be Marched to the Wall.