The WHO is warning there is no proof that having recovered from an infection actually makes you immune
Of course not. Nobody has any such evidence. "Immune" is an absolute term. Even a vaccine doesn't make one "immune" to a disease. So the WHO is absolutely correct in saying that. But if this disease is like the vast majority of similar infections, have had it once likely reduces one's chances of getting it a second time. Of all the viruses that cause disease, only a very few are regularly caught repeatedly.