How do the new bannermen, immune to plot effects, react to Wildfire Assault

Is the effect indirect and thus they can be targeted as per other characters

e.g. I have 4 of the new bannermen in play (plus a Targ character) - presumably I have to kill one of them

Immunity means 2 things in A Game of Thrones:

1. Immune cards cannot be targeted. In this case, that means you cannot choose the new bannermen among your 3 characters.
2. Non-targeted direct effects do not affect immune cards. In this case, that means Wildfire Assault will not kill the new bannermen even if they aren't chosen.

Thanks - does that mean I can choose 3 non-banner-men to be the 3 characters not killed by WA and then also let all my banner-men live?

I assume the same follows for any character that cannot be killed or is immune ... there's nothing in WA text which suggests that I have to only have 3 characters at the end

It actually means you MUST choose 3 non-banner men as your "not-killed" characters because "immune to plot" makes them illegal targets of the plot effect. They won't die, either, because of the immunity, but they can't be chosen.

"Cannot be killed" is different with WA because the characters are not chosen to die, so the CBK characters remain legal targets. You could choose them. But if you don't (and you shouldn't), they'll survive the kill anyway.