Any time two identical signals are mixed together out of phase, there will be phase cancellation. PZM mikes are not "immune" to that, but they may pick up the signals a little differently that other types, due to the size and resonant frequency of the mike's diaphargm (or whatever the vibrating member they are attached to.).
This is a deceptively complex question. The short answer is "no...they are not immune; they ARE still subject to phase cancellation problems."