DYING IS WHAT I DO BEST!: When Mr. Immortal is KO'ed, instead of being defeated, remove him from the map, place a special terrain marker in the square he occupied and turn his dial to click #9. Other characters can't occupy the square with the special terrain marker. At the beginning of your turn, if Mr. Immortal is removed from the map this way, heal him of 1 damage. When click #6 is revealed, remove the specal terrain marker and place him in that square. Victory points are only awarded for Mr. Immortal if he is removed from the map at the end of the game.

In A battle royal where players only use one piece, when mr. immortal reaches his 1st KO click is the player controlling him out of the battle royal or does Mr. Immortal trait allow the player to stay in until the end no matter what?

Well, it says that victory points are awarded at the end of the game. That would imply that you wouldn't be eliminated until the end. There's probably some precedent for staying in the game, even if your last figure is removed from the map, as long as that figure is coming back.

As long as there is two or more players still in the game he has a potential to return.

For BR, this would make him extremely dangerous....might he be BANNED from BR play?

What if all players in a Battle royal use him?
All must be dead at the same time for someone to win