SteamOS core system is locked as read-only. That is what immutable means. In example you cannot install applications using the core system management named "pacman" (short for package manager). There is a toggle in SteamOS to disable this read-only functionality, but with next system update all changes are reverted.
But how do you install applications on SteamOS? You certainly can do, right? Yes! That's the store it offers, which uses a different concept called Flatpak. These are programs you can install without touching the core system. And therefore these are persistent, even on system updates. And they are similar to Android programs in a sandbox.
I assume you are not familiar with how Linux systems operate. Imagine this like Android, where you are only allowed to install from a store, which cannot make changes to the Android core, but only install applications on a secured way. But that is limited. Or imagine a game console where you can only install games and programs which the store has. And it lacks Command Line Interface programs in example or many other tools not found in the official store. That's how SteamOS works at the moment.
And here comes the Nix packagement into play. This is a different system again. You can think of it like Flatpak, meaning any changes to it would be sandboxed and do not touch the core system. This allows for Command Line tools and some other stuff, as discussed before. Nix packages will be part of the next big update of SteamOS.