Most Spells have the inscription "Magical Spell", but some Spells have nothing like this. (i.e. spells from Curse of the Black Pharaoh expansion). Does the inscription have any influence on game rules?

Don't think there is any game effect in this. CotDP being the case, most likely bad wording again. Or could be they didn't see the point, as CotDP has no combat spells. Cloud Memory from DH doesn't have Magical Spell either (at least if the AH wiki is correct), ditto for base game and Heal.

"Magical Spell" is just to remind you that spells are magic attacks. So, if a monster has Magical Immunity, the spell would do nothing against it.

Gamemaster said:

Not exactly: if a monster has Magical Immunity, then the spell would offer no combat bonus. There are "combat" spells, such as Bind Monster, that work 100% against Magically Resistant/Immune monsters.

Good rule of thumb is: Resistance/Immunity only ever effects combat bonuses. "If it's not a combat bonus," to paraphrase Kevin Wilson, "then there's nothing immunity can do about it."