Because of its unusual legal status. The UN is not a state, but its not an NGO either. It has "international personality" and "is a subject of international law and capable of possessing international rights and duties" [1]. The only way to take legal action against it seems to be through the International Court of Justice, which is accessible only to states, not individuals. And this is problematic because the ICJ is itself a branch of the UN.

Edit: I don't fully agree that the UN is "immune to everything". There are problems with accountability, but I think it does a lot of good in the world.

[1] http://en.wikipedia.org/wiki/United_Nations#Legal_basis_of_e...

Because they're expected to make violent interventions that, while we hope they will be for the better overall, will almost certainly harm some people even if they do everything correctly (which it sounds like they didn't do here). Just like the army or the police.

Why are sovereign states immune? Why are politicians immune?

Because they can be. Power is its own justification.

Because mistakes happen and usually go when it's a horrible situation. If they got sued for every little thing, nothing would be done when it came to humanitarian help. UN should offer some sort of settlement but not to create a precedent. Imagine if you went to help a family during a tornado and they sued you because you hurt someone's arm by pulling them or accidentally broke a family heirloom.