This EO is unlawful. In no way is the INTERPOL a diplomatic envoy of any nation. It is a law enforcement agency madde of many nations by agreement only. Obama cannot give immunity to anyone. If he could then he could simply give immunity to all federal, State and local agencies of all sorts. Hell, he could give us all immunity, which he cannot.
If anyone states or represents immunity and is armed they must be dealt with as a hostile and lethal force.
P.S. If anyone finds such foreign persons operating within the United States they should treat the person as a spy and act accordingly.