You're making the same mistake as the OP: looking in isolation at the current, final step of a process that took millions of years. Also, you're gonna find a lot of different immune systems in nature, just as you can find many different eyes/vision in animals. There's a lot of middle ground in species that saw no advantage in evolving that particular system against their environment.

You're also confusing the randomness of the steps with the somewhat previsible trend of an entire ecosystem which is evolving. If world is getting warmer and air more dense, you wouldn't be able to guess which mutation occurs but you can predict in time animals would be more adapt to that new ecosystem.

Darwin famously looked at a unusual orchid with a long "tube" leading to nectar, and spoke that "there must be a bird with a long beak here somewhere". He didn't find it at first, but it was discovered later [1]. So you can apply some predictions at how evolution took place if you take a look at the environment. Just as one would guess there must be an immune system in animals if you discover diseases, virus, bacteria etc - or else how would large animals exist?

[1]https://laidbackgardener.blog/2017/04/12/darwins-orchid