Immortals in the realm of Doctor Who, whether they’ve been explicitly stated as such or not, have a somewhat mixed history in Doctor Who, and one that belies the basic problem with their inclusion in any story. If an immortal cannot really be harmed, then most stories have them being either omnipotent (or attempting to be) in addition to being immortal or terribly effete. Fortunately most of the examples from classic who had a better idea.
They were incredibly bored.
In The Celestial Toymaker the audience only found out the Toymaker was immortal towards the end of the story. He only wanted to be amused. In Enlightenment the Eternals main motivation was for some form of entertainment (and stewardesses in period dress).
Can You Hear Me? posits a more malevolent form of immortal which needs to harvest nightmares for sustenance and dips into hints of hellraiser to accomplish this. It’s pretty effective, and if the resolution to the threat posed by Zellin and Rakaya had not been so abrupt, it would have ranked higher on our Dynamic Ratings Table. But the immortality presented is just a diversionary feint to the more subtle and larger message of Can You Hear Me? dealing with haunting depression. The codas at the end of the episode were all well-earned and superbly executed.