It is about immunity, just not about the individual. It means that if the virus spreads to a non-immune individual from the outside the spread inside the herd will eventually stop (but we don't know when). It can still reach an arbitrary number of non-immune individuals, but given infinite time and an infinite herd, it will eventually stop.
Low level zero friction school physics analogy: think of a ball rolling onto an inclined plane. If the plane is angled upwards the ball will slow down and eventually stop rolling further upwards, if the plane is angled downwards it will just continue accelerating forever. But in the upwards case no place on the plane is truly safe from getting reached by the ball, because speed and angle is not specified. Herd immunity means that the slope is upwards, but the velocity would still be an open-ended random distribution.
A more accurate model for virus spread would replace momentum with dice rolls and slope with success thresholds, but that's just more difficult to imagine (unless your biography contains a phase of obsessing over p&p rpg rules).