New Redemption Grab Bag now includes an assortment of 500 cards from five (5) different expansion sets. Available at Cactus website.
And yes, her immunity stops her from being affected by it as far as I know. I could be wrong, but I'm almost certain they ruled that an EE that is placed on a character is still being played by that character, and so the immunity would stop her from being returned. I will edit my post once I find the thread this came up in before.
I'm not 100% certain about this so please don't take it as an official ruling, but my initial impression is that Herod's Treachery is being used by the character it was originally played on. If that was a Herod then it's used by a Herod. If that was Uzzah, then it was used by Uzzah. Once it's placed on a Herod the ability is not being used by that Herod necessarily, only if it was originally played on him. This is the nature of placed cards as I understand them and there's nothing in the wording of Herod's Treachery that makes me think otherwise.